Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-21732
Mercer Funds
(Exact Name of Registrant as Specified in Charter)
99 High Street
Boston, MA 02110
(Address of Principal Executive Offices)(Zip Code)
Scott M. Zoltowski, Esq.
Mercer Investment Management, Inc.
99 High Street
Boston, MA 02110
(Name and Address of Agent for Service)
Registrant’s Telephone Number, including Area Code: (617) 747-9500
Date of Fiscal Year End: March 31, 2015
Date of Reporting Period: March 31, 2015
Table of Contents
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Table of Contents
Mercer Funds™
Annual Report
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Core Fixed Income Fund
Mercer Opportunistic Fixed Income Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
This report has been prepared for Mercer Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds prospectus. The prospectus contains more complete information about the Funds’ investment objectives, risks, and expenses. Investors are reminded to read the prospectus carefully before investing.
March 31, 2015
Table of Contents
MERCER FUNDS
Page | ||
1 | ||
29 | ||
149 | ||
153 | ||
156 | ||
161 | ||
170 | ||
213 | ||
214 | ||
220 | ||
223 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000® Growth Index.
Investment Strategy
The Fund invests principally in equity securities issued by large capitalization U.S. companies. The companies will generally have higher earnings and/or revenue growth histories or expectations relative to the Russell 1000® Growth Index.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 13.63% compared to its benchmark return of 16.09%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed four sub-advisors, Sands Capital Management, LLC (Sands), HS Management Partners, LLC (HS), Columbia Management Advisers, LLC (Columbia) and Parametric Portfolio Associates LLC (Parametric). Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
Sands manages a concentrated portfolio using a fundamental, bottom-up approach to identify leading companies in various industries. HS, like Sands, manages a concentrated portfolio of growth companies exhibiting higher quality and reasonable valuation. Columbia also manages a concentrated portfolio of financially strong companies that are growing earnings faster than the broader equity market. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the Fund’s fiscal year, the market, as measured by the Russell 3000 Index, rose 12.4%, which exceeded expectations for the period, given the already strong five-year performance coming into the fiscal year. Overall, during the fiscal year, the market rewarded growth over value and the more cyclical stocks over defensive ones. Market moves seemed to depend more on anticipated Federal Reserve (Fed) actions than actual fundamentals and valuations. Bond markets tended to react in similar fashion, with rates on the 10 year (U.S. Treasury Bond) declining from 2.8% at the beginning of the fiscal year, to a low of 1.7% in late January before going back up to 2.1% by the end of the fiscal year. There was considerable uncertainty as to when the Federal Reserve will raise rates, which led to periods of volatility in the market. In the meantime, bond proxies (i.e., high dividend yielding stocks such as REITs and utilities) within equities experienced a sharp rise for the first three quarters of the fiscal year, only to correct during the fourth. This fact made value benchmarks difficult to beat as most active value managers find REITs and utilities very expensive and, therefore, are underweight in their portfolios relative to the benchmark. The energy sector declined as the price of oil was cut in half during this period. The amount of oil coming from shale finally caught up with demand causing a temporary oversupply of oil. While economic growth has been in an expected range of 2% to 3% growth, the market has continued to rise ahead of earnings growth. This rise has been largely on valuation expansion, evidence of an improved growth outlook. However, political and economic risks remain and the withdrawal of the Fed’s support is expected to increase the volatility of equity markets. Despite the risks, we expect stronger global growth for the next fiscal year driven by Europe and emerging markets, which will help the U.S. economy and earnings to support the current level of the markets.
Among major U.S. equity indices, large cap and growth indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top 200 Growth Dynamic Index and the worst was the Russell 2000® Value-Dynamic™ Index, the only one posting negative returns. The best sectors and industries were an odd combination of pro-cyclical and defensive areas of the market. Procyclical biotech and technology outperformed alongside the more defensive REITs and utilities groups.
1
Table of Contents
Mercer US Large Cap Growth Equity Fund
Within the Russell 1000® Growth Index, the best performing sectors for the fiscal year were healthcare, consumer staples, and information technology with returns of 33%, 19%, and 18%, respectively. Energy was the only sector with negative returns, dropping 11.5%. Utilities, materials, and telecommunications were the other laggards with returns of 7.5%, 9%, and 11%, respectively.
The Mercer U.S. Large Cap Growth Equity Fund underperformed the Russell 1000® Growth Index during this fiscal year. The Fund’s bias overall is pro-cyclical, although the Fund does employ more defensive type sub-advisors, and the prior fiscal year was a poor market environment for the Fund. Sector allocation was generally positive, but overwhelmed by stock selection. The primary driver of the Fund’s underperformance was stock selection in the consumer discretionary sector. Stock selection was negative in most sectors outside of healthcare where Pharmacyclics rising 150% helped returns. The underweight to energy would have been beneficial to performance, but the more oil price sensitive positions were hurt as the price of oil significantly declined during the fiscal year. These positions included Southwestern Energy and FMC Technologies. Notable positive contributors within the poor performing consumer discretionary sector were Time Warner and AMC Networks, while Ralph Lauren, Home Depot, and Scripps Networks were large detractors. Information technology, typically a strong sector for this fund, was hurt by a large underweight to Apple which rose 65% during the fiscal year.
The Sands portion of the portfolio had the poorest performance of the three managers. An overweight to energy, the worst performing sector, as well as poor stock selection, with holdings Southern Energy, FMC Technologies, and National Oilwell Varco contributed to underperformance. Stock selection in consumer discretionary was also a negative contributor as the internet related stocks like Priceline and Amazon had negative returns. HS Management was the only manager to outperform. Underweighting energy was the main contributor, along with strong stock selection in consumer discretionary (Time Warner and AMC Networks) and technology. Stock selection in the health care and consumer staples detracted from results. Columbia narrowly underperformed the benchmark. A strong performance in healthcare (Pharmacyclics) could not overcome poor stock selection in consumer discretionary (Michael Kors) and technology (ARM Holdings).
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
The Fund invests in growth stocks which may be particularly sensitive to market conditions. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
2
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer US Large Cap Growth Equity Shares vs. the
Russell 1000® Growth Index
As of March 31, 2015
This graph shows the performance of the Mercer US Large Cap Growth Equity Fund Class Y-3 shares versus the Russell 1000® Growth Index from August 15, 2005, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
3
Table of Contents
Mercer US Large Cap Value Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000® Value Index.
Investment Strategy
The Fund invests principally in equity securities issued by large capitalization U.S. companies that are considered undervalued based on the stocks’ intrinsic values relative to their current market prices.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 9.10% compared to its benchmark return of 9.33%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed five sub-advisors, Brandywine Global Investment Management, LLC (Brandywine), The Boston Company Asset Management, LLC (TBCAM), Robeco Investment Management, Inc. (Robeco), O’Shaughnessy Asset Management, LLC (O’Shaughnessy) and Parametric Portfolio Associates LLC (Parametric). Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
Brandywine seeks to build portfolios comprised of companies whose valuations are below the market but whose earnings growth prospects are equal or better than the market. The firm favors industry leaders with strong competitive positions and reasonable growth expectations given the team’s view of industry and overall economic conditions. TBCAM’s investment process is driven by bottom-up, fundamental security selection, combining traditional valuation measures with the identification of improving business momentum. Robeco’s process begins with a quantitative analysis that provides a statistical ranking of the investment universe based on valuation, momentum, and fundamental factors. The firm then applies fundamental analysis to those securities that includes validation of the quantitative analysis and fundamental research, including an in-depth review of the issuer’s financials. O’Shaughnessy uses a quantitative approach to find underpriced, high quality companies that are actively paying dividends to shareholders or are repurchasing shares, giving shareholders a greater share of company earnings. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the Fund’s fiscal year, the market, as measured by the Russell 3000 Index, rose 12.4%, which exceeded expectations for the period, given the already strong five-year performance coming into the fiscal year. Overall, during the fiscal year, the market rewarded growth over value and the more cyclical stocks over defensive ones. Market moves seemed to depend more on anticipated Federal Reserve (Fed) actions than actual fundamentals and valuations. Bond markets tended to react in similar fashion, with rates on the 10 year (U.S. Treasury Bond) declining from 2.8% at the beginning of the fiscal year, to a low of 1.7% in late January before going back up to 2.1% by the end of the fiscal year. There was considerable uncertainty as to when the Federal Reserve will raise rates, which led to periods of volatility in the market. In the meantime, bond proxies (i.e., high dividend yielding stocks such as REITs and utilities) within equities experienced a sharp rise for the first three quarters of the fiscal year, only to correct during the fourth. This fact made value benchmarks difficult to beat as most active value managers find REITs and utilities very expensive and, therefore, are underweight in their portfolios relative to the benchmark. The energy sector declined as the price of oil was cut in half during this period. The amount of oil coming from shale finally caught up with demand causing a temporary oversupply of oil. While economic growth has been in an expected range of 2% to 3% growth, the market has continued to rise ahead of earnings growth. This rise has been largely on valuation expansion, evidence of an improved growth outlook. However, political and economic risks remain and the withdrawal of the Fed’s support is expected to increase the volatility of equity markets. Despite the risks, we expect stronger global growth for the next fiscal year driven by Europe and emerging markets, which will help the U.S. economy and earnings to support the current level of the markets.
4
Table of Contents
Mercer US Large Cap Value Equity Fund
Among major U.S. equity indices, large cap and growth indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top 200 Growth Dynamic Index and the worst was the Russell 2000® Value-DynamicTM Index, the only one posting negative returns. The best sectors and industries were an odd combination of pro-cyclical and defensive areas of the market. Procyclical biotech and technology outperformed alongside the more defensive REITs and utilities groups.
Within the Russell 1000® Value Index, the best performing sectors for the fiscal year were consumer discretionary, healthcare, and technology posting gains of 22.07% 21.21%, and 15.54%, respectively. Most sectors generated positive returns, with telecommunications and energy posting the only negative returns at -1.21% and -11.82%, respectively.
The Mercer U.S. Large Cap Value Equity Fund underperformed the Russell 1000® Value Index during the fiscal period. All the underperformance can be attributed to the underweight to REITs and utilities. The Fund employs a combination of yield-seeking, low price-to-earnings (A valuation ratio of a company’s current share price compared to its per-share earnings) and relative value sub-advisors that all enjoyed varying degrees of success over the year. The largest sources of excess return were in the industrials, energy and telecommunications.
O’Shaughnessy outperformed over the period. The primary driver of excess returns was an overweight position in the consumer discretionary sector and stock selection within the industrials sectors. Within the industrials sector Northrop Grumman, an aerospace and defense company, returned 32.15% for the fiscal year and was a strong contributor to stock selection within the sector. Stock selection in information technology was a negative for the fiscal year. Brandywine outperformed for the fiscal year. The primary driver of excess returns was stock selection in the industrials and telecommunication sectors. In industrials, an overweight position and good stock selection amongst airlines helped results. The holdings American Airlines and Delta Air Lines were significant positive contributors over the period. In telecommunication, China Mobile and Verizon were positive contributors. Stock selection in the energy and financials sectors detracted from results. The holdings Halliburton and Met Life were notable detractors, while underweight to REITs was also a detractor. Robeco underperformed for the fiscal year. Good stock selection in the energy, industrials and technology sectors helped results. Stock selection in the financials and healthcare sectors detracted from results. The Boston Company outperformed for the fiscal year and was the best performing manager. Good sector weighting decisions and stock selection in the healthcare, materials, and industrials sectors added value over the period. Stock selection in the financials sector, and underweighting REITs hampered results.
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
Value investing involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
5
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer US Large Cap Value Equity Shares vs. the
Russell 1000® Value Index
As of March 31, 2015
This graph shows the performance of the Mercer US Large Cap Value Equity Fund Class Y-3 shares versus the Russell 1000® Value Index from August 15, 2005, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
6
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500® Growth Index.
Investment Strategy
The Fund invests principally in equity securities issued by small-to-medium capitalization U.S. companies. The companies will generally have higher earnings and/or revenue growth histories or expectations relative to the Russell 2500® Growth Index.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 11.11% compared to its benchmark return of 13.83%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed four sub-advisors, Jackson Square Partners, LLC (Jackson Square) (formerly Delaware Investments Fund Advisors), Palisade Capital Management, L.L.C. (Palisade), Westfield Capital Management Company, L.P. (Westfield) and Parametric Portfolio Associates LLC (Parametric). Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
Jackson Square uses a bottom-up fundamental process in seeking to find companies with attractive business models that generate strong free cash flow. They also believe in a concentrated portfolio and will typically hold approximately 25 to 30 holdings. Palisade believes companies with strong or improving prospects for growth generate superior returns. Palisade believes that fundamental research is the basis for identifying superior businesses, and that long term investment success is the result of owning fundamentally strong and dynamic companies trading at a discount to their growth rates. Palisade also believes that identifying a dynamic of change before it appears in consensus estimates leads to superior returns, and that management plays a significant role in the success of a company. Westfield employs a fundamental, bottom-up approach which seeks to identify reasonably priced stocks with high earnings growth potential. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the Fund’s fiscal year, the market, as measured by the Russell 3000 Index, rose 12.4%, which exceeded expectations for the period, given the already strong five-year performance coming into the fiscal year. Overall, during the fiscal year, the market rewarded growth over value and the more cyclical stocks over defensive ones. Market moves seemed to depend more on anticipated Federal Reserve (Fed) actions than actual fundamentals and valuations. Bond markets tended to react in similar fashion, with rates on the 10 year (U.S. Treasury Bond) declining from 2.8% at the beginning of the fiscal year, to a low of 1.7% in late January before going back up to 2.1% by the end of the fiscal year. There was considerable uncertainty as to when the Federal Reserve will raise rates, which led to periods of volatility in the market. In the meantime, bond proxies (i.e., high dividend yielding stocks such as REITs and utilities) within equities experienced a sharp rise for the first three quarters of the fiscal year, only to correct during the fourth. This fact made value benchmarks difficult to beat as most active value managers find REITs and utilities very expensive and, therefore, are underweight in their portfolios relative to the benchmark. The energy sector declined as the price of oil was cut in half during this period. The amount of oil coming from shale finally caught up with demand causing a temporary oversupply of oil. While economic growth has been in an expected range of 2% to 3% growth, the market has continued to rise ahead of earnings growth. This rise has been largely on valuation expansion, evidence of an improved growth outlook. However, political and economic risks remain and the withdrawal of the Fed’s support is expected to increase the volatility of equity markets. Despite the risks, we expect stronger global growth for the next fiscal year driven by Europe and emerging markets, which will help the U.S. economy and earnings to support the current level of the markets.
7
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Among major U.S. equity indices, large cap and growth indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top 200 Growth Dynamic Index and the worst was the Russell 2000® Value-DynamicTM Index, the only one posting negative returns. The best sectors and industries were an odd combination of pro-cyclical and defensive areas of the market. Procyclical biotech and technology outperformed alongside the more defensive REITs and utilities groups.
Within the Russell 2500® Growth Index, the best performing sectors for the fiscal year were healthcare, consumer discretionary, and technology posting gains of 31.7%,13.6%, and 11.1%, respectively. Lagging sectors for the fiscal year were energy and telecommunications posting the only negative returns of -25.5% and -0.2%, respectively.
The Mercer US Small/Mid Cap Growth Equity Fund underperformed the Russell 2500® Growth Index for the period. The primary driver of underperformance was allocation and stock selection in the healthcare and energy sectors. Within healthcare the underweight to biotech was the main detractor. Energy holdings Core Laboratories and Bill Barrett were notable detractors. Consumer discretionary and technology provided good excess returns.
Palisade underperformed for the fiscal year. The primary driver of underperformance was stock selection in the energy and industrials sectors. In the energy sector oil price sensitive stocks such as Bill Barrett, Magnum Hunter, and Oasis Petroleum were a drag on relative returns. Although healthcare performance was a positive overall, the underweight to Biotech stocks was a drag on results. Jackson Square outperformed the index for the period. Jackson Square manages a quality-focused, concentrated and high tracking error portfolio with a long term investment horizon, which can result in performance varying significantly from year to year. The primary areas of outperformance were in the consumer discretionary and financials sectors. Good stock selection in the both sectors was additive to excess returns. Energy holding Core Laboratories was a detractor. Westfield underperformed for the period. The primary driver of underperformance for the period was stock selection in the healthcare sector. Aegerion Pharmaceuticals was down 43% during the period hurting performance. Allscripts Healthcare was also a detractor. Consumer discretionary and technology were both strong during the period.
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
The Fund invests in growth stocks which may be particularly sensitive to market conditions. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.
8
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer US Small/Mid Cap Growth Equity Shares vs. the
Russell 2500® Growth Index
As of March 31, 2015
This graph shows the performance of the Mercer US Small/Mid Cap Growth Equity Fund Class Y-3 shares versus the Russell 2500® Growth Index from August 15, 2005, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
9
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500® Value Index.
Investment Strategy
The Fund invests principally in equity securities issued by small-to-medium sized capitalization U.S. companies. Generally, the Fund invests in stocks that appear to be undervalued based on the stocks’ intrinsic values relative to their current market prices.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 4.27% compared to its benchmark return of 6.58%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed four sub-advisors, NWQ Investment Management Company, LLC (NWQ), Systematic Financial Management, L.P. (Systematic), River Road Asset Management, LLC (River Road) and Parametric Portfolio Associates LLC (Parametric). Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
NWQ uses bottom-up fundamental analysis to identify undervalued companies where catalysts for improved valuation exist. The firm seeks stocks that are mispriced or neglected by Wall Street with attractive risk/reward characteristics. Systematic’s investment philosophy is predicated on its belief that stock prices are a reflection of consensus earnings estimates, and as revisions to those estimates rise or fall, stock prices will move accordingly. Systematic applies a strategic combination of qualitative and quantitative research seeking to identify high-quality, attractively valued small and medium-sized companies exhibiting a confirmed catalyst for stock price appreciation. River Road believes inefficiencies can be captured in smaller capitalization and out-of-favor companies and in those securities with little analyst coverage. Through bottom-up, fundamental research, the team seeks companies with attractive, sustainable returns that are financially strong and trade at compelling valuations. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
For the Fund’s fiscal year, the market, as measured by the Russell 3000 Index, rose 12.4%, which exceeded expectations for the period, given the already strong five-year performance coming into the fiscal year. Overall, during the fiscal year, the market rewarded growth over value and the more cyclical stocks over defensive ones. Market moves seemed to depend more on anticipated Federal Reserve (Fed) actions than actual fundamentals and valuations. Bond markets tended to react in similar fashion, with rates on the 10 year (U.S. Treasury Bond) declining from 2.8% at the beginning of the fiscal year, to a low of 1.7% in late January before going back up to 2.1% by the end of the fiscal year. There was considerable uncertainty as to when the Federal Reserve will raise rates, which led to periods of volatility in the market. In the meantime, bond proxies (i.e., high dividend yielding stocks such as REITs and utilities) within equities experienced a sharp rise for the first three quarters of the fiscal year, only to correct during the fourth. This fact made value benchmarks difficult to beat as most active value managers find REITs and utilities very expensive and, therefore, are underweight in their portfolios relative to the benchmark. The energy sector declined as the price of oil was cut in half during this period. The amount of oil coming from shale finally caught up with demand causing a temporary oversupply of oil. While economic growth has been in an expected range of 2% to 3% growth, the market has continued to rise ahead of earnings growth. This rise has been largely on valuation expansion, evidence of an improved growth outlook. However, political and economic risks remain and the withdrawal of the Fed’s support is expected to increase the volatility of equity markets. Despite the risks, we expect stronger global growth for the next fiscal year driven by Europe and emerging markets, which will help the U.S. economy and earnings to support the current level of the markets.
10
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Among major U.S. equity indices, large cap and growth indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top 200 Growth Dynamic Index and the worst was the Russell 2000® Value-DynamicTM Index, the only one posting negative returns. The best sectors and industries were an odd combination of pro-cyclical and defensive areas of the market. Procyclical biotech and technology outperformed alongside the more defensive REITs and utilities groups.
Within the Russell 2500® Value Index, the best performing sectors for the fiscal year were healthcare, consumer discretionary, and consumer staples posting gains of 28.1%,15.9%, and 12.3%, respectively. Lagging sectors for the fiscal year were energy and materials posting the returns of -39.8% and -4.5%, respectively.
The Mercer U.S. Small/Mid Cap Value Equity Fund underperformed the Russell 2500® Value Index for the fiscal year. Stock selection in the consumer discretionary and consumer staples sectors were the biggest detractors. Good stock selection in the industrials and technology sectors was unable to offset the underperformance from other sectors. An underweight position to utilities and REITs was also a negative contributor to performance.
NWQ underperformed the benchmark, with the strategy posting poor results in consumer staples primarily due to negative contributions from the holdings Elizabeth Arden and Orkla. In the financials sector, underperformance was due to a severe underweight to REITs, and in the healthcare sector from the holding Bruker. Within technology, International Rectifier was taken over and added to excess returns along with Microsemi. Strong stock selection in industrials was also a positive. While River Road is expected to be a down market outperformer and support the fund during defensive environments, it underperformed primarily because of stock selection in the energy and materials sectors, as commodity sensitive stocks were all poor performers. Holdings in consumer discretionary were also big detractors along with underweights to REITs and utilities. Good stock selection in the industrials sector added 3.6% to excess returns led by holdings ADT Corp. and Insperity. Systematic posted strong returns and outperformed the benchmark for the period, primarily driven by stock selection. Selection was particularly good in the healthcare sector with the holding Centene rising 127% during the period, and Mallinckrodt and Universal Health Services also adding positively to relative results. Stock selection in the energy sector was also a positive, as they held some positions less sensitive to price of oil as in the case of the holding, PBF Energy, which had positive returns.
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
Value investing involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.
11
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer US Small/Mid Cap Value Equity Shares vs. the
Russell 2500® Value Index
As of March 31, 2015
This graph shows the performance of the Mercer US Small/Mid Cap Value Equity Fund Class Y-3 shares versus the Russell 2500® Value Index from August 15, 2005, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
12
Table of Contents
Mercer Non-US Core Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI EAFE Index.
Investment Strategy
The Fund invests principally in equity securities issued by non-U.S. companies of any capitalization, located in the world’s developed and emerging capital markets.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 0.19% compared to its benchmark return of -0.92%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed five sub-advisors, Arrowstreet Capital, Limited Partnership (Arrowstreet), American Century Investment Management, Inc. (American Century), Lingohr & Partner North America, Inc. (Lingohr), Massachusetts Financial Services Company (MFS) and Parametric Portfolio Associates LLC (Parametric). Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
Arrowstreet’s strategy seeks to outperform international equity benchmarks through risk-controlled core approach. The firm combines sound investment intuition and research with rigorous quantitative tools to identify mispriced stocks around the world. Arrowstreet believes that the key to generating alpha involves evaluating the prospects of a security considering both the characteristics of the stock itself (direct effects) as well as the characteristics of other related stocks (indirect effects). American Century manages a growth portfolio focused on identifying companies that are exhibiting accelerating, sustainable growth where the team sees upside to street earnings expectations. In implementing this strategy, American Century uses a bottom up approach to stock selection basing investment decisions primarily on extensive analysis of individual companies rather than broad economic forecasts. American Century will primarily invest in equity securities of companies located in at least three developed countries, excluding the United States. Lingohr manages a value portfolio, which consists of undervalued stocks identified through the firm’s disciplined, systematic, quantitative investment approach. Stock selection includes a fundamental qualitative overlay through the portfolio management team. This strategy invests opportunistically in emerging markets. MFS manages a value portfolio, which focuses on stocks whose long-term value they believe is not adequately reflected in the stock price. MFS invests opportunistically in emerging markets. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
Global equity markets, as measured by the MSCI World Index, rose moderately and returned over 6% during the 12-month period ending March 31, 2015. U.S. equities were the market leaders with the S&P 500 Index up 12.7% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -0.92% and 0.44%, respectively, over the same time period.
Much of the increase in the global equity markets was supported by positive US economic data and a number of supportive central bank policy actions, including Bank of Japan’s decision to ramp up its quantitative easing programme and various stimulatory measures in China, Canada and the Eurozone. The increase in returns of the developed equity market came despite a number of key macroeconomic issues, including weakness in Europe and Japan, geopolitical concerns, slowdown in China, the growing expectations of a Fed rate hike and sharply falling oil prices. Within emerging markets, results were wide-ranging and driven by other events across individual countries.
Within the developed markets, there was heightened volatility during the year and a wide dispersion of returns among the key regions. U.S. led the market up by over 12%, followed by Asia/Pacific region, which also showed a relative strong performance returning over 7%. In contrast, the Euro-countries didn’t perform well, declining by over 6%. This performance
13
Table of Contents
Mercer Non-US Core Equity Fund
reflects uneven macroeconomic environments and central bank policies, which resulted in mixed corporate performance. Whereas the US, the UK and Japan improved economically, the Euro area encountered headwind. While global monetary policy was largely in sync earlier last year, they started to diverge when the Fed’s quantitative easing program ended in October. This was followed by the European Central Bank, which started its quantitative easing program in the first quarter of 2015, surprising the market with the large size of the program. International stock and bond markets viewed this positively with many European sovereign bonds entering negative yield territory. One of the dominant themes that we saw during the fiscal year period is the continuation of the strengthening of the dollar against other key major currencies including Euro and Yen, that negatively impacted performance.
In this environment, the Mercer Non-US Core Equity Fund outperformed the MSCI EAFE Index by 1.11% for the 12-month period ending March 31, 2015. The Fund benefitted from a bias to stocks with positive fundamental momentum, such as price momentum and company level fundamental improvement, such as earnings growth and margin expansion. Positive outperformance was driven by strong stock selection in Western Europe, particularly strong selection in the Netherlands, Germany and Switzerland. Conversely, stock selection in Australia, Hong Kong and the U.K. detracted from performance. An allocation to emerging markets equity detracted from performance, in particular, stock selection in India and Russia. From a sector perspective, stock selection was mixed, with positive contributors in materials and consumer staples offset by negative selection in information technology and energy.
In aggregate, performance of the Fund’s sub-advisors was mixed, with two of the four active sub-advisors outperforming. However, the strong performance of the two sub-advisors, MFS and Arrowstreet, outpaced the underperformance of American Century and Lingohr. MFS led all sub-advisors by outperforming the index by 9.15%, as their style of investing in long-term value securities did well over the past fiscal year. Performance was driven primarily by strong stock selection in Western Europe, particularly in Germany and Switzerland. From a sector perspective, strong selection in consumer staples, financials and materials drove performance. Slightly offsetting the positive performance was negative selection in consumer discretionary. Another strong contributor for the fiscal year was Arrowstreet. Arrowstreet outperformed from a sector perspective as a result of positive sector allocation decisions and strong stock selection. Underweighting energy in favor of overweighting information technology and health care were the primary positive contributors. In addition, selection was strong in industrials, materials and consumer discretionary. From a regional perspective, the currency allocation decision to underweight the Euro contributed positively to performance. Offsetting some of the positives for Arrowstreet was negative stock selection in the financials and utilities sectors. American Century slightly underperformed due to negative selection in financials, consumer staples and industrials. Offsetting some of the negatives was strong selection in information technology and consumer discretionary. Lingohr underperformed for the period, primarily driven by country allocation and selection decisions. Country allocations were hurt by underweighting Japan and overweighting South Korea and Norway. Selection was negative in Australia, Norway and China with positive contributions from Finland and Japan. From a sector perspective, most of the underperformance was due to negative selection in the cyclical sectors such as industrials and energy. Slightly offsetting the negative performance were positive contributions as a result of overweighting the strong performing information technology and consumer discretionary sectors.
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
14
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer Non-US Core Equity Shares vs. the
MSCI EAFE Index
As of March 31, 2015
This graph shows the performance of the Mercer Non-US Core Equity Fund Class Y-3 shares versus the MSCI EAFE Index from August 18, 2006, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
15
Table of Contents
Mercer Core Fixed Income Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide total return, consisting of both current income and capital appreciation. The benchmark for the Fund is the Barclays U.S. Aggregate BondTM Index.
Investment Strategy
The Fund invests principally in investment grade fixed income securities, including government securities, corporate bonds and securitized bonds such as mortgage and asset-backed securities. The Fund may also invest in non-investment grade bonds, non-U.S. dollar denominated bonds, bonds issued by issuers located in emerging capital markets, and certain derivative instruments. The Fund may invest in derivative instruments, such as options, futures, and swap agreements. The Fund may engage in transactions in derivatives for a variety of purposes, including changing the investment characteristics of its portfolio, enhancing total returns or as a substitute for taking a position in an underlying asset.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 5.43% compared to its benchmark return of 5.72%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed three sub-advisors, Dodge & Cox, Income Research and Management (IRM) and Prudential Investment Management, Inc. (Prudential).
Dodge & Cox manages its allocated portion of the Fund with an extended investment horizon supported by fundamental research and a strict valuation discipline. Their process emphasizes security-level research and individual security and sector selection to build a high-average-quality portfolio that seeks incremental yield versus the broad market. IRM manages its allocated portion based on the belief that careful security selection and higher portfolio income provide superior returns over the long term. Portfolios are constructed using a disciplined, bottom-up investment approach to select attractive securities from the U.S fixed income universe. Prudential manages its allocated portion of the Fund by seeking to maximize excess return opportunities from sustainable sources such as sector allocation, bottoms up security selection, coupled with a daily portfolio risk evaluation and monitoring process. Research-based security selection is a major source of added value via proprietary models to identify relative value and detailed technical review of issuers across the U.S. Treasury, Agency, Mortgage, Corporate Bond and Structured Product Sectors.
Market Commentary and Fund Performance
Over the one-year period ending March 31, 2015, U.S. fixed income market returns were positive, reflecting price increases associated with falling interest rates. Intermediate and long-term U.S. Treasury rates decreased between 0.36% and 0.79% year-over-year (with some interim volatility), while the short end of the yield curve remained anchored by the Federal Reserve’s (Fed) accommodative monetary policy. The longest U.S. Treasury rates fell the most over the period, leading to a flattening of the U.S. Treasury yield curve. Interest rates experienced volatility within each quarter, but the overall trend was down. This was largely driven by foreign investors buying U.S. Treasury securities as foreign central banks lowered rates and the U.S. Dollar appreciated, making U.S. Treasuries attractive to foreign buyers. U.S. market participants closely followed economic releases to get a sense of when the Fed would start raising rates which added to short term volatility. The Fed clarified the timing and the pace of future rate increases in the first quarter of 2015 which eased market fears of imminent increases.
Returns from securities not backed by a U.S. Government guarantee were positive, as they benefitted from the drop in interest rates, although spreads increased and they underperformed Treasuries with similar durations (excess returns). Longer maturity corporate bonds in particular performed poorly in terms of excess returns, despite solid corporate fundamentals and strong investor demand, as they could not keep pace with the drop in Treasury yields. Investment-grade corporate bond issuers continued issuing a large amount of new debt to take advantage of very low funding rates, exceeding the record breaking issuance of the prior year.
16
Table of Contents
Mercer Core Fixed Income Fund
The fall in yields in the U.S. Treasury curve (i.e., rates lower) was the biggest contributing factor to returns over the twelve months ending March 31, 2015; absolute returns in fixed income were very substantial. Spread sectors (i.e., non-Treasury securities) provided lower returns in relation to similar-duration Treasuries (i.e., excess returns) while still registering large gains in absolute terms. The Fund’s return was positive in absolute terms although it underperformed in relation to the Barclays U.S. Aggregate Bond Index for the period. The Fund was hurt by its strategic overweight to spread sectors including an allocation to high yield. The Fund’s underweight to lower yielding U.S. Treasuries in the form of a shorter duration positioning or term structure bias (i.e. favoring certain maturities over others), relative to the index, also was detrimental to performance.
The respective performance results of each sub-advisor correlated with their risk posture, as more risk translated into less returns in this “risk-off” period. Dodge & Cox has the largest share of the risk allocation within the fund. Their bias towards corporate credit and avoidance of U.S. Treasuries, as well as a relatively shorter duration position, led them to have the weakest returns over the period. Prudential had a longer duration positioning versus the benchmark which was a positive contributor to performance as rates fell, but a more aggressive spread sector allocation which proved detrimental to performance. IRM’s agnostic duration positioning and higher quality corporate bias led them to outperform the benchmark over the period.
Risk Considerations
The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, prepayment, call and interest rate risk. As interest rates rise, the value of bond prices will decline. The Fund may invest in more aggressive investments such as foreign securities which may expose the Fund to currency and exchange rate fluctuations, derivatives (futures, options, swaps) and high yield debt (also known as junk bonds) all of which may cause greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub- advisors to allocate assets.
17
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer Core Fixed Income Shares vs. the
Barclays U.S. Aggregate Bond™ Index
As of March 31, 2015
This graph shows the performance of the Mercer Core Fixed Income Fund Class Y-3 shares versus the Barclays US Aggregate Bond™ Index from August 15, 2005, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
18
Table of Contents
Mercer Opportunistic Fixed Income Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The Fund’s primary benchmark is the Bank of America Merrill Lynch Global High Yield 2% Constrained Index. The Fund’s secondary benchmark is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified and 50% Bank of America Merrill Lynch Global High Yield 2% Constrained Index.
Investment Strategy
The Fund invests principally in fixed income securities of U.S. and non-U.S. issuers, including those in emerging and frontier markets. The Fund invests in various strategic and tactical global bond market opportunities without limitations in geography, issuer type, quality and currency denomination. The Fund may invest in derivatives such as futures (including among others, interest rate futures, swaps (currency, interest rate, credit default and total return), forwards, options, and credit-linked notes. The Fund may engage in transactions in derivatives for a variety of purposes, including hedging, risk management, efficient portfolio management, enhance total returns, or as a substitute for taking position in the underlying asset.
Performance
For the fiscal ended March 31, 2015, the Fund’s Y-3 share class performance was -7.36% compared to its primary benchmark return of -2.54% and secondary benchmark return of -6.89%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed two sub-advisors, Franklin Advisers, Inc. (Franklin) and Investec Asset Management US Limited (Investec).
In managing its allocated portion of the Fund’s portfolio, Franklin will typically invest in non-investment grade securities issued globally. Franklin is a research driven, fundamental investor that relies on a team of analysts to provide in-depth industry expertise, using both qualitative and quantitative analysis to evaluate issuers. Although bottom-up security selection forms the core part of Franklin’s process, it uses industry attractiveness when selecting investments. In managing its allocated portion of the Fund’s portfolio, Investec will invest in public sector, sovereign and corporate bonds issued by emerging market borrowers and those denominated in local emerging market currencies. Investec’s portfolio construction process promotes allocation to countries and currencies identified based on economic fundamentals, valuations and market price behavior.
Market Commentary and Fund Performance
For the twelve month period ending March 31, 2015, U.S. and global fixed income markets experienced a volatile period driven by a few broad underlying factors: the end of quantitative easing and more certainty as to the timing of rates increasing by the U.S. Federal Reserve Bank (Fed); pockets of weakness in select emerging market economies; a rally in U.S. dollar currency versus developed and emerging market currencies; and oil price declines creating mixed effects to energy importer and exporter economies.
The uncertainty in the global fixed income market created positive total returns for U.S. Treasury securities and negative total returns for low quality rated and non U.S. dollar denominated debt. U.S. Treasury securities prices move higher from foreign buying and nervousness that global growth would slow as a result of falling oil prices. The global high yield index experienced a widening in its risk premium by 1.1%, ending the fiscal year period with a risk premium of 5.0% and an overall yield of 6.3%. The volatile oil prices and a strong U.S. dollar negatively influenced the price action but the environment for corporate credit market outlook remained relatively stable. Low corporate default rates, stable business fundamentals and a favorable view on the overall yield level of the sector provided positive momentum to allow for a successful new issue underwriting environment.
Local emerging markets debt experienced a volatile environment during the twelve months ending March 31, 2015. Security valuations fluctuated as a result of the diversion of monetary policy between the U.S. and developed and emerging market
19
Table of Contents
Mercer Opportunistic Fixed Income Fund
economies. U.S. rates moved higher with clarity the Fed was moving to a more restrictive policy, while China, Europe and emerging economies were in a accommodative monetary policy. Clarity on the end of the quantitative easing program followed by the first rate rise being more clearly on the horizon moved global capital to U.S. dollar denominated assets. Prospects of a strong U.S. dollar and favorable rates in U.S. Treasuries relative to developed markets brought flows to U.S. dollar markets. Chinese growth continues to moderate leading to rate cuts for the first time in two years. Elsewhere, growth forecasts were downgraded for a number of emerging market countries. More encouragingly the dramatic fall in oil prices, spurred by OPEC decision to maintain supply targets should be supportive for the majority of emerging markets.
In this environment, the Mercer Opportunistic Fixed Income Fund underperformed its primary benchmark by -4.82% and underperformed its secondary benchmark by -0.47% for the one year period. The Fund underperformed its primary benchmark because the global high yield market performed better compared to the local emerging markets debt. Since the Fund invests in both global high yield and local emerging markets debt, the comparison to the secondary benchmark is meaningful.
In the fiscal year, Franklin underperformed. This was driven primarily by a strong commitment to being long the High Yield market. Both industry allocation and security selection detracted from performance, while currency position had a favorable impact on relative returns. Franklin started to build an energy sector over-weight before the economic impact of oil price weakness was fully priced into the market, hence leading to underperformance. Spread widening from oil and dollar impact on global economics coupled with Franklin’s aggressive view on down-in-quality in the portfolio impacted performance negatively during the year. Investec outperformed for the period. The majority of outperformance came from FX and currency selection. Volatility in currency from U.S. dollar and oil impact was high which created opportunities to use the firm’s skill in analysis and trading to generate positive value from currency positioning. Selection in bonds without consideration for the currency impact results in decisions in duration, country selection and curve/issue selection. During the period Investec performed best in the duration curve/issue selection group.
Risk Considerations
The Fund invests in non-investment grade and emerging market fixed income securities which involves certain risks such as higher volatility, currency fluctuation, political and social instability and reduced market liquidity. The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, call and interest rate risk. The Fund may invest in more aggressive investments such as derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
20
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer Opportunistic Fixed Income Shares vs. the
Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1
As of March 31, 2015
This graph shows the performance of the Mercer Opportunistic Fixed Income Fund Class Y-3 shares versus the Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index1 from August 21, 2013, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
1 The Mercer Opportunistic Fixed Income Fund’s Secondary Index is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified USD Unhedged and 50% Bank of America ML Global High Yield 2% Constrained Index Unhedged.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
21
Table of Contents
Mercer Emerging Markets Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI Emerging Markets Index.
Investment Strategy
The Fund invests principally in equity securities of large, medium and small capitalization companies, located in emerging markets, other investments that are tied economically to emerging markets, as well as in American, European and Global Depository receipts. Stock index futures and various types of swaps may be used to implement the country selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 0.81% compared to its benchmark return of 0.44%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed five sub-advisors, AQR Capital Management, LLC (AQR), Kleinwort Benson Investors International Ltd. (KBI), Investec Asset Management US Limited (Investec), Vontobel Asset Management, Inc. (Vontobel) and Parametric Portfolio Associates LLC (Parametric). Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
AQR employs a systematic, research-driven investment approach focused on sourcing alpha (i.e., excess return relative to the benchmark) from currency, country and security selection strategies. AQR’s proprietary investment process uses fundamental factors, such as value, momentum and quality within the alpha models. AQR uses quantitative tools to construct optimized portfolios based on this diversified set of fundamental factors, along with estimates of risk and transactions costs. KBI manages a systematic process focusing on quality firms growing their dividend yield. The portfolio construction process uses sector and region constraints to minimize uncompensated risks to ensure the majority of risk is associated with the alpha model. Investec uses a 4-Factor Model comprised of Strategy, Value, Earnings and Technicals, to build its portfolio. Investec’s strategy looks for high quality, attractively valued companies which have improving operating performance and are receiving increasing investor attention. Vontobel uses a fundamental process to identify high quality, sustainable growth companies in businesses with high barrier to entry. Vontobel’s risk management process focused on capital preservation and manages risk in absolute terms. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
Global equity markets, as measured by the MSCI World Index, rose moderately and returned over 6% during the 12-month period ending March 31, 2015. U.S. equities were the market leaders with the S&P 500 Index up 12.7% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -0.92% and 0.44%, respectively, over the same time period.
Much of the increase in the global equity markets was supported by positive US economic data and a number of supportive central bank policy actions, including Bank of Japan’s decision to ramp up its quantitative easing programme and various stimulatory measures in China, Canada and the Eurozone. The increase in returns of the developed equity market came despite a number of key macroeconomic issues, including weakness in Europe and Japan, geopolitical concerns, slowdown in China, the growing expectations of a Fed rate hike and sharply falling oil prices. Within emerging markets, results were wide-ranging and driven by other events across individual countries.
Looking into the actual performance of the developed markets, the 0.44% return of the Emerging Markets Index for the fiscal year understates the wide dispersion of outcomes within emerging markets and the volatile period that it went through.
22
Table of Contents
Mercer Emerging Markets Equity Fund
The best performing market rose +26% in the period, whilst the worst fell -64%. The heightened volatility was driven by a number of macro issues including falling commodity prices and a strengthening US dollar, which negatively impacted emerging markets. Commodity prices fell over the period, with slowing economic growth, particularly in China, hurting demand for many commodities. Increased production combined with moderate demand weighed heavily on oil prices, and the strength of the US dollar also contributed to commodity price weakness.
The widely disparate performance was evident in the major emerging market countries, notably the BRIC nations, with China and India, each up over 20%, but Brazil and Russia declining by over 25%. During the period concerns over decelerating economic growth and the structural imbalances in the Chinese economy, were gradually alleviated by relaxation of economic policy to a more stimulative stance, and moves to improve regulation of China’s financial sector. India also performed well, as the market celebrated the election of Prime Minister Modi and his BJP party. This was the first majority government in India for 30 years, and the markets looked forward to significant economic reform, hopes that have so far only partially been met. In Brazil, the market was disappointed by the re-election of President Dilma Rousseff in addition to the country’s economy and politics roiled by a massive corruption scandal at the national oil company Petrobras. This is still to be resolved, and has depressed market sentiment and — in particular — the Brazilian currency, the Real. Within Russia, conflicts arose between Russia and Ukraine during the year, and Western governments responded with sanctions. Falling oil prices compounded Russia’s issues, with Russian equities and Ruble among the weakest performers over the period.
In this environment, the Mercer Emerging Markets Equity Fund outperformed the MSCI Emerging Markets Index by 0.37% for the 12-month period ending March 31, 2015. Much of the outperformance was driven by the Fund’s currency positioning, particularly from being underweight the Brazilian Real and the Russian Ruble, which is an indirect result from being underweight these two countries. The fund’s defensive positioning that targets sustainable levels of profitability and positive exposures to defensive sectors also contributed positively. Stock selection was negative overall, particularly within materials, energy and consumer staples but this was offset by allocation decisions, both at the country and sector levels.
In aggregate, performance of the Fund’s sub-advisors was strong with three of the four sub-advisors outperforming against the benchmark. KBI was the only manager that underperformed during the period. Vontobel was by far the best performing manager, outperforming by over 6%. An overweight to India, combined with stock selection in the country, contributed to relative returns. Additionally, an underweight to Korea and stock selection in Brazil also helped performance. AQR and Investec also outperformed the index during this time period, each by over 1%. AQR uses three distinct alpha models of which country selection was the main contributor followed by stock selection while the currency selection detracted. The positive contribution from country selection was driven by an overweight to China and an underweight to South Korea and Greece. Investec’s outperformance was driven by strong stock selections, particularly within information technology, financials and energy. Overweight to India as well as strong stock selection within India and underweight to Greek also contributed positively. Almost all of KBI’s underperformance can be explained via its stock selection decisions, which is the result of how they construct their portfolio with regional constraints. During the fiscal year period, KBI benefitted from strong stock selection in Chinese banks as well as avoiding few stocks in the energy sector. However, these benefits were outweighed by some strong performance from other stocks that are not held in the company, specifically in some of the higher growth sectors.
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
Risk Considerations
The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, forwards, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.
23
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer Emerging Markets Equity Shares vs. the
MSCI Emerging Markets Index
As of March 31, 2015
This graph shows the performance of the Mercer Emerging Markets Equity Fund Class Y-3 shares versus the MSCI Emerging Markets Index from May 1, 2012, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
24
Table of Contents
Mercer Global Low Volatility Equity Fund
Investment Objective and Benchmark
The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI World Index.
Investment Strategy
The Fund invests principally in equity securities of U.S. and foreign issuers, of large, medium and small capitalization companies. Stock index futures and various types of swaps may be used to implement the equity security selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.
Performance
For the fiscal year ended March 31, 2015, the Fund’s Y-3 share class performance was 5.80% compared to its benchmark return of 6.03%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.
The Sub-Advisors
As of March 31, 2015, the Fund employed five sub-advisors, Acadian Asset Management LLC (Acadian), MFG Asset Management (MFG), First Eagle Investment Management, LLC (First Eagle), Martingale Asset Management, L.P. (Martingale) and Parametric Portfolio Associates LLC (Parametric). On February 24, 2015, Martingale was added to the Fund as a sub-advisor. Parametric replaced SSGA Funds Management, Inc. (SSGA) as manager to the liquidity sleeve of the Fund in February of 2015.
Acadian’s process uses both risk analysis and stock forecasts to create the portfolio. The process uses a risk model to determine the systematic risk and the level of volatility of each stock in the investable universe. Once a stock’s risk is determined, Acadian uses its stock forecast model as an overlay to determine the optimal mix of securities. The security return forecasting model incorporates five categories including value, growth, risk, macroeconomic, and technical factors. MFG screens the universe of investable global stocks to identify high quality companies based on key quality criteria: the sustainability of a company’s competitive advantages; the predictability and reliability of future cash flows and earnings; the extent to which management will act in the best interest of shareholders; and re-investment potential. MFG then evaluates investment opportunities quantitatively incorporating both long-term intrinsic value and three-year forecast total shareholder returns using MFG’s proprietary forecasts. Portfolio construction is determined by each stock’s ranking based on the qualitative assessment of the key criteria, the quantitative assessment driven by valuation, and detailed macroeconomic research within a robust risk management framework. From time to time, MFG may hold up to 20% of its portion of the Fund in cash if warranted by their assessment of the macro environment. First Eagle can be broadly characterized as value in approach, looking to identify companies selling at, what First Eagle believes to be, a discount to intrinsic value with the goal being to avoid permanent impairment of capital (as opposed to temporary losses in share value relating to shifting investor sentiment or other normal share price volatility). First Eagle’s primary valuation measure is the ratio of enterprise value to normalized earnings before interest and taxes, although other metrics can be applied depending on the company or industry. If stocks are deemed too expensive, based on their bottom up valuation analysis, cash and cash equivalents or bonds will be held instead, up to 20% of its portion of the Fund. In addition, a gold exposure is maintained (both through gold-backed exchange traded funds and the equities of gold mining companies), with the view that it is a potential portfolio hedge. Martingale’s approach to low volatility investing is built around a risk-adjusted Smart Index methodology which promotes broad and stable diversification combined with a valuation overlay which favors low risk companies with stronger fundamentals. Martingale’s systematic stock evaluation incorporates measures of relative valuation, growth and quality, along with each security’s risk properties. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.
Market Commentary and Fund Performance
Global equity markets, as measured by the MSCI World Index, rose moderately and returned over 6% during the 12-month period ending March 31, 2015. U.S. equities were the market leaders with the S&P 500 Index up 12.7% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -0.92% and 0.44%, respectively, over the same time period.
25
Table of Contents
Mercer Global Low Volatility Equity Fund
Much of the increase in the global equity markets was supported by positive US economic data and a number of supportive central bank policy actions, including Bank of Japan’s decision to ramp up its quantitative easing program and various stimulatory measures in China, Canada and the Eurozone. The increase in returns of the developed equity market came despite a number of key macroeconomic issues, including weakness in Europe and Japan, geopolitical concerns, slowdown in China, the growing expectations of a Fed rate hike and sharply falling oil prices. Within emerging markets, results were wide-ranging and driven by other events across individual countries.
Within the developed markets, there was heightened volatility during the year and a wide dispersion of returns among the key regions. U.S. led the market up by over 12%, followed by Asia/Pacific region, which also showed a relative strong performance returning over 7%. In contrast, the Euro-countries didn’t perform well, declining by over 6%. This performance reflects uneven macroeconomic environments and central bank policies, which resulted in mixed corporate performance. Whereas the US, the UK and Japan improved economically, the Euro area encountered headwind. While global monetary policy was largely in sync earlier last year, they started to diverge when the Fed’s quantitative easing program ended in October. This was followed by the European Central Bank, which started its quantitative easing program in the first quarter of 2015, surprising the market with the large size of the program. International stock and bond markets viewed this positively with many European sovereign bonds entering negative yield territory. One of the dominant themes that we saw during the fiscal year period is the continuation of the strengthening of the dollar against other key major currencies including Euro and Yen, that negatively impacted performance.
In this environment, the Mercer Global Low Volatility Equity Fund returned 5.80%, underperforming the MSCI World Index by 0.23% for the 12-month period ending March 31, 2015. The Fund’s defensive posture — lower risk and volatility — was positive for the fund as these factors slightly outperformed. However, the fund’s strategic allocation to cash and gold were the biggest detractors. Overall, the Fund had positive stock selection at both sector as well as country levels, but negative attribution resulting from allocation decisions as well as currency impact.
The Fund’s defensive posture — Acadian’s focus on low volatility stocks and First Eagle’s strategic weight to gold and cash — was a drag on relative performance during the fiscal year. The majority of relative underperformance was during the third and fourth calendar quarters of 2014; the Fund returned an 11.6% gain while the MSCI World Index rose 16.8% during the 6-month period. The defensive sector allocations such as overweight positions in consumer staples, a gold-backed exchange traded fund, and utilities detracted from performance. In addition, unfavorable security selection in consumer discretionary, utilities, and materials contributed negatively to performance. From a country perspective, negative selection in the U.S., United Kingdom, and France also hurt relative performance. Offsetting some of the negatives was strong stock selection in technology and industrials and underweight positions in sector laggards, energy and materials.
In aggregate, performance of the Fund’s sub-advisors was strong with three of the four sub-advisors outperforming against the benchmark. Magellan, Acadian and Martingale outperformed the benchmark while First Eagle underperformed. Magellan’s performance was supported by its investments in US home-improvement companies, Lowe’s and Home Depot, which benefitted from the recovery of the housing market. Other areas of strengths that benefitted the portfolio were the strategy’s investment in payments network businesses and the financial sector. Magellan increased its cash positioning to approximately 10% in August to reinforce the strategy’s defensive positioning given their concerns about elevated market risks and this slightly detracted from their performance. Acadian’s strategy outperformed the benchmark, driven by a combination of stock selection and relatively smaller exposure to the energy and materials sectors, along with an emphasis on the healthcare and consumer staples sectors. Martingale is a new manager in the Fund and their outperformance resulted from emphasis on lower beta stocks as well as being less concentrated in the highest capitalization firms. First Eagle lagged the benchmark, with the majority of underperformance driven by a strategic allocation to gold and a tactical allocation to cash which both underperformed as the equity markets rallied. Offsetting some of the negative performance was their country allocation decisions particularly being overweight Japan as well as strong stock selection within the country.
Parametric replaced SSGA as manager to the liquidity sleeve of the Fund in February of 2015. SSGA and Parametric utilize exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.
26
Table of Contents
Mercer Global Low Volatility Equity Fund
Risk Considerations
The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.
27
Table of Contents
Mercer Funds
March 31, 2015
Comparison of Change in Value of a $10,000 Investment in
Mercer Global Low Volatility Equity Shares vs. the
MSCI World Index
As of March 31, 2015
This graph shows the performance of the Mercer Global Low Volatility Equity Fund Class Y-3 shares versus the MSCI World Index from November 6, 2012, which is the inception date of the Fund, through March 31, 2015. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.
The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.
The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.
28
Table of Contents
Mercer US Large Cap Growth Equity Fund
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 96.1% | ||||||||||
Agriculture — 1.6% | ||||||||||
52,513 | Monsanto Co. | 5,909,813 | ||||||||
|
| |||||||||
Apparel — 7.1% | ||||||||||
239,275 | LVMH Moet Hennessy Louis Vuitton SE, Unsponsored ADR | 8,432,051 | ||||||||
84,425 | NIKE, Inc. Class B | 8,470,360 | ||||||||
69,000 | Ralph Lauren Corp. | 9,073,500 | ||||||||
|
| |||||||||
25,975,911 | ||||||||||
|
| |||||||||
Auto Manufacturers — 0.6% | ||||||||||
11,499 | Tesla Motors, Inc.* ‡ | 2,170,666 | ||||||||
|
| |||||||||
Beverages — 2.3% | ||||||||||
18,050 | Anheuser-Busch InBev NV, Sponsored ADR | 2,200,476 | ||||||||
55,255 | Diageo Plc, Sponsored ADR | 6,109,545 | ||||||||
|
| |||||||||
8,310,021 | ||||||||||
|
| |||||||||
Biotechnology — 9.2% | ||||||||||
36,511 | Alexion Pharmaceuticals, Inc.* | 6,327,356 | ||||||||
19,743 | Biogen, Inc.* | 8,336,284 | ||||||||
32,062 | Celgene Corp.* | 3,696,107 | ||||||||
20,343 | Illumina, Inc.* | 3,776,475 | ||||||||
7,334 | Intercept Pharmaceuticals, Inc.* | 2,068,335 | ||||||||
11,800 | Regeneron Pharmaceuticals, Inc.* | 5,327,464 | ||||||||
33,938 | Vertex Pharmaceuticals, Inc.* | 4,003,666 | ||||||||
|
| |||||||||
33,535,687 | ||||||||||
|
| |||||||||
Commercial Services — 5.0% | ||||||||||
276,536 | Visa, Inc. Class A | 18,088,220 | ||||||||
|
| |||||||||
Computers — 3.4% | ||||||||||
71,105 | Apple, Inc. | 8,847,595 | ||||||||
54,041 | Cognizant Technology Solutions Corp. Class A* | 3,371,618 | ||||||||
|
| |||||||||
12,219,213 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 1.9% | ||||||||||
29,575 | W.W. Grainger, Inc. | 6,974,081 | ||||||||
|
| |||||||||
Diversified Financial Services — 1.1% | ||||||||||
86,900 | Charles Schwab Corp. (The) | 2,645,236 | ||||||||
67,700 | LendingClub Corp.* ‡ | 1,330,305 | ||||||||
|
| |||||||||
3,975,541 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.4% | ||||||||||
35,138 | Mobileye NV* | 1,476,850 | ||||||||
|
| |||||||||
Food — 5.2% | ||||||||||
114,825 | General Mills, Inc. | 6,499,095 |
See accompanying Notes to the Financial Statements. | 29 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Food — continued | ||||||||||
82,775 | Nestle SA, Sponsored ADR | 6,226,385 | ||||||||
115,525 | Whole Foods Market, Inc. | 6,016,542 | ||||||||
|
| |||||||||
18,742,022 | ||||||||||
|
| |||||||||
Internet — 23.8% | ||||||||||
73,378 | Alibaba Group Holding, Ltd., Sponsored ADR* | 6,107,985 | ||||||||
28,268 | Amazon.com, Inc.* | 10,518,523 | ||||||||
33,583 | Baidu, Inc., Sponsored ADR* | 6,998,697 | ||||||||
90,011 | Facebook, Inc. Class A* | 7,400,254 | ||||||||
6,410 | Google, Inc. Class A* | 3,555,627 | ||||||||
22,775 | Google, Inc. Class C* | 12,480,700 | ||||||||
27,810 | LinkedIn Corp. Class A* | 6,948,606 | ||||||||
24,449 | MercadoLibre, Inc.‡ | 2,995,491 | ||||||||
17,545 | Priceline Group (The), Inc.* | 20,425,012 | ||||||||
82,858 | Splunk, Inc.* | 4,905,194 | ||||||||
81,909 | Twitter, Inc.* | 4,102,003 | ||||||||
|
| |||||||||
86,438,092 | ||||||||||
|
| |||||||||
Lodging — 0.7% | ||||||||||
43,800 | Las Vegas Sands Corp. | 2,410,752 | ||||||||
|
| |||||||||
Media — 10.6% | ||||||||||
118,300 | AMC Networks, Inc. Class A* | 9,066,512 | ||||||||
82,975 | Nielsen NV | 3,698,196 | ||||||||
123,475 | Scripps Networks Interactive, Inc. Class A | 8,465,446 | ||||||||
95,450 | Time Warner, Inc. | 8,059,798 | ||||||||
70,100 | Twenty-First Century Fox, Inc. Class A | 2,372,184 | ||||||||
64,275 | Walt Disney Co. (The) | 6,741,805 | ||||||||
|
| |||||||||
38,403,941 | ||||||||||
|
| |||||||||
Metal Fabricate & Hardware — 0.6% | ||||||||||
10,336 | Precision Castparts Corp. | 2,170,560 | ||||||||
|
| |||||||||
Oil & Gas — 1.4% | ||||||||||
126,919 | Cabot Oil & Gas Corp. | 3,747,918 | ||||||||
64,300 | Southwestern Energy Co.* | 1,491,117 | ||||||||
|
| |||||||||
5,239,035 | ||||||||||
|
| |||||||||
Oil & Gas Services — 2.0% | ||||||||||
109,897 | FMC Technologies, Inc.* | 4,067,288 | ||||||||
37,400 | Schlumberger, Ltd. | 3,120,656 | ||||||||
|
| |||||||||
7,187,944 | ||||||||||
|
| |||||||||
Pharmaceuticals — 2.6% | ||||||||||
26,200 | BioMarin Pharmaceutical, Inc.* | 3,265,044 | ||||||||
63,720 | Bristol-Myers Squibb Co. | 4,109,940 | ||||||||
36,500 | Novo Nordisk AS, Sponsored ADR | 1,948,735 | ||||||||
|
| |||||||||
9,323,719 | ||||||||||
|
|
30 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Retail — 7.5% |
| |||||||||
99,150 | Cheesecake Factory (The), Inc. | 4,891,069 | ||||||||
5,700 | Chipotle Mexican Grill, Inc.* | 3,708,078 | ||||||||
54,775 | Lululemon Athletica, Inc.* | 3,506,695 | ||||||||
53,182 | Michael Kors Holdings, Ltd.* | 3,496,717 | ||||||||
31,900 | Starbucks Corp. | 3,020,930 | ||||||||
30,060 | Tractor Supply Co. | 2,556,904 | ||||||||
74,075 | Williams-Sonoma, Inc. | 5,904,518 | ||||||||
|
| |||||||||
27,084,911 | ||||||||||
|
| |||||||||
Semiconductors — 2.2% |
| |||||||||
120,031 | ARM Holdings Plc, Sponsored ADR | 5,917,528 | ||||||||
22,000 | ASML Holding NV | 2,222,660 | ||||||||
|
| |||||||||
8,140,188 | ||||||||||
|
| |||||||||
Software — 5.2% |
| |||||||||
24,100 | Adobe Systems, Inc.* | 1,781,954 | ||||||||
14,100 | athenahealth, Inc.* ‡ | 1,683,399 | ||||||||
41,400 | Cerner Corp.* | 3,032,964 | ||||||||
114,898 | Salesforce.com, Inc.* | 7,676,335 | ||||||||
22,010 | ServiceNow, Inc.* | 1,733,948 | ||||||||
35,182 | VMware, Inc. Class A* | 2,885,276 | ||||||||
|
| |||||||||
18,793,876 | ||||||||||
|
| |||||||||
Transportation — 1.7% |
| |||||||||
62,825 | United Parcel Service, Inc. Class B | 6,090,256 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $302,978,989) | 348,661,299 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 6.5% | ||||||||||
Bank Deposit — 4.2% |
| |||||||||
15,213,862 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 15,213,862 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.3% |
| |||||||||
8,089,381 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 8,089,381 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $23,303,243) | 23,303,243 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.6% (Cost $326,282,232) | 371,964,542 | |||||||||
Other Assets and Liabilities (net) — (2.6)% | (9,266,156 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 362,698,386 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
See accompanying Notes to the Financial Statements. | 31 |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
53 | S&P 500 E-mini Index | June 2015 | $ | 5,461,120 | $ | (106,530 | ) | |||||||||||
17 | S&P Mid 400 E-mini Index | June 2015 | 2,583,660 | 13,337 | ||||||||||||||
32 | NASDAQ 100 E-mini Index | June 2015 | 2,770,880 | (81,867 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (175,060 | ) | ||||||||||||||||
|
|
32 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 96.1 | ||||
Futures Contracts | 0.0 | ||||
Short-Term Investments | 6.5 | ||||
Other Assets and Liabilities (net) | (2.6 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 33 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 95.6% | ||||||||||
Advertising — 0.4% |
| |||||||||
40,103 | Interpublic Group of Cos. (The), Inc. | 887,078 | ||||||||
5,804 | Omnicom Group, Inc. | 452,596 | ||||||||
|
| |||||||||
1,339,674 | ||||||||||
|
| |||||||||
Aerospace & Defense — 3.9% |
| |||||||||
5,855 | General Dynamics Corp. | 794,699 | ||||||||
10,690 | Lockheed Martin Corp. | 2,169,642 | ||||||||
30,494 | Northrop Grumman Corp. | 4,908,314 | ||||||||
19,930 | Raytheon Co. | 2,177,353 | ||||||||
35,883 | United Technologies Corp. | 4,205,488 | ||||||||
|
| |||||||||
14,255,496 | ||||||||||
|
| |||||||||
Airlines — 1.7% |
| |||||||||
43,560 | American Airlines Group, Inc. | 2,299,097 | ||||||||
74,559 | Delta Air Lines, Inc. | 3,352,173 | ||||||||
8,949 | United Continental Holdings, Inc.* | 601,820 | ||||||||
|
| |||||||||
6,253,090 | ||||||||||
|
| |||||||||
Auto Manufacturers — 2.4% |
| |||||||||
87,003 | General Motors Co. | 3,262,612 | ||||||||
24,700 | Oshkosh Corp. | 1,205,113 | ||||||||
30,730 | Toyota Motor Corp., Sponsored ADR‡ | 4,298,820 | ||||||||
|
| |||||||||
8,766,545 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.6% |
| |||||||||
5,492 | Delphi Automotive Plc | 437,932 | ||||||||
8,325 | Lear Corp. | 922,576 | ||||||||
11,686 | Magna International, Inc. Class A | 627,071 | ||||||||
|
| |||||||||
1,987,579 | ||||||||||
|
| |||||||||
Banks — 5.1% |
| |||||||||
223,074 | Bank of America Corp. | 3,433,109 | ||||||||
20,565 | BB&T Corp. | 801,829 | ||||||||
43,814 | Capital One Financial Corp. | 3,453,419 | ||||||||
23,730 | Fifth Third Bancorp | 447,311 | ||||||||
33,117 | Grupo Financiero Santander Mexico SAB de CV Class B, ADR | 361,638 | ||||||||
21,443 | PNC Financial Services Group, Inc. | 1,999,345 | ||||||||
36,843 | Regions Financial Corp. | 348,166 | ||||||||
141,684 | Wells Fargo & Co. | 7,707,610 | ||||||||
|
| |||||||||
18,552,427 | ||||||||||
|
| |||||||||
Beverages — 1.6% |
| |||||||||
88,490 | Coca-Cola Enterprises, Inc. | 3,911,258 | ||||||||
12,008 | Molson Coors Brewing Co. Class B | 893,995 | ||||||||
10,916 | PepsiCo, Inc. | 1,043,788 | ||||||||
|
| |||||||||
5,849,041 | ||||||||||
|
|
34 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Biotechnology — 0.1% | ||||||||||
6,000 | PTC Therapeutics, Inc.* | 365,100 | ||||||||
|
| |||||||||
Building Materials — 0.9% | ||||||||||
62,800 | Louisiana-Pacific Corp.* | 1,036,828 | ||||||||
11,069 | Martin Marietta Materials, Inc. | 1,547,446 | ||||||||
16,950 | Owens Corning | 735,630 | ||||||||
|
| |||||||||
3,319,904 | ||||||||||
|
| |||||||||
Chemicals — 2.6% | ||||||||||
6,401 | CF Industries Holdings, Inc. | 1,815,836 | ||||||||
15,020 | Dow Chemical Co. (The) | 720,660 | ||||||||
12,000 | Eastman Chemical Co. | 831,120 | ||||||||
34,295 | Huntsman Corp. | 760,320 | ||||||||
28,494 | LyondellBasell Industries NV Class A | 2,501,773 | ||||||||
60,870 | Mosaic Co. (The) | 2,803,672 | ||||||||
3,547 | Potash Corp. of Saskatchewan, Inc. | 114,391 | ||||||||
|
| |||||||||
9,547,772 | ||||||||||
|
| |||||||||
Commercial Services — 0.3% | ||||||||||
21,360 | Apollo Education Group, Inc.* | 404,131 | ||||||||
2,899 | McKesson Corp. | 655,754 | ||||||||
|
| |||||||||
1,059,885 | ||||||||||
|
| |||||||||
Computers — 4.1% | ||||||||||
40,224 | Apple, Inc. | 5,005,073 | ||||||||
74,200 | Brocade Communications Systems, Inc. | 880,383 | ||||||||
82,297 | EMC Corp. | 2,103,511 | ||||||||
7,124 | International Business Machines Corp. | 1,143,402 | ||||||||
46,955 | NetApp, Inc. | 1,665,024 | ||||||||
1,720 | SanDisk Corp. | 109,427 | ||||||||
54,106 | Seagate Technology Plc | 2,815,135 | ||||||||
11,905 | Western Digital Corp. | 1,083,474 | ||||||||
|
| |||||||||
14,805,429 | ||||||||||
|
| |||||||||
Diversified Financial Services — 11.3% | ||||||||||
25,865 | Ally Financial, Inc.* | 542,648 | ||||||||
8,071 | Ameriprise Financial, Inc. | 1,056,010 | ||||||||
59,807 | Berkshire Hathaway, Inc. Class B* | 8,631,346 | ||||||||
30,120 | Blackstone Group (The), LP | 1,171,367 | ||||||||
12,193 | CIT Group, Inc. | 550,148 | ||||||||
159,371 | Citigroup, Inc. | 8,210,794 | ||||||||
32,788 | Discover Financial Services | 1,847,604 | ||||||||
11,601 | Goldman Sachs Group, Inc. (The) | 2,180,640 | ||||||||
17,090 | Invesco, Ltd. | 678,302 | ||||||||
159,849 | JPMorgan Chase & Co. | 9,683,652 | ||||||||
89,330 | KKR & Co., LP | 2,037,617 | ||||||||
18,896 | Leucadia National Corp. | 421,192 | ||||||||
44,685 | Morgan Stanley | 1,594,808 |
See accompanying Notes to the Financial Statements. | 35 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Diversified Financial Services — continued | ||||||||||
66,600 | Santander Consumer USA Holdings, Inc. | 1,541,124 | ||||||||
26,571 | TD Ameritrade Holding Corp. | 990,035 | ||||||||
|
| |||||||||
41,137,287 | ||||||||||
|
| |||||||||
Electric — 0.3% | ||||||||||
89,630 | AES Corp. | 1,151,745 | ||||||||
|
| |||||||||
Electrical Components & Equipment — 0.3% | ||||||||||
7,450 | Emerson Electric Co. | 421,819 | ||||||||
11,100 | Generac Holdings, Inc.* | 540,459 | ||||||||
|
| |||||||||
962,278 | ||||||||||
|
| |||||||||
Electronics — 0.8% | ||||||||||
10,596 | Agilent Technologies, Inc. | 440,264 | ||||||||
7,258 | Keysight Technologies, Inc.* | 269,635 | ||||||||
16,817 | TE Connectivity, Ltd. | 1,204,433 | ||||||||
18,836 | Tyco International Plc | 811,078 | ||||||||
|
| |||||||||
2,725,410 | ||||||||||
|
| |||||||||
Engineering & Construction — 0.4% | ||||||||||
21,800 | Chicago Bridge & Iron Co. NV‡ | 1,073,868 | ||||||||
4,980 | Fluor Corp. | 284,657 | ||||||||
|
| |||||||||
1,358,525 | ||||||||||
|
| |||||||||
Entertainment — 0.2% | ||||||||||
11,930 | Six Flags Entertainment Corp. | 577,531 | ||||||||
|
| |||||||||
Food — 1.3% | ||||||||||
18,446 | ConAgra Foods, Inc. | 673,832 | ||||||||
4,990 | Kellogg Co. | 329,091 | ||||||||
92,788 | Koninklijke Ahold NV, Sponsored ADR | 1,824,212 | ||||||||
18,096 | Mondelez International, Inc. Class A | 653,085 | ||||||||
35,580 | Tyson Foods, Inc. Class A | 1,362,714 | ||||||||
|
| |||||||||
4,842,934 | ||||||||||
|
| |||||||||
Forest Products & Paper — 0.4% | ||||||||||
14,755 | International Paper Co. | 818,755 | ||||||||
12,910 | MeadWestvaco Corp. | 643,822 | ||||||||
|
| |||||||||
1,462,577 | ||||||||||
|
| |||||||||
Gas — 0.2% | ||||||||||
9,595 | Energen Corp. | 633,270 | ||||||||
|
| |||||||||
Health Care - Products — 1.7% | ||||||||||
26,252 | Boston Scientific Corp.* | 465,973 | ||||||||
1,010 | Intuitive Surgical, Inc.* | 510,080 | ||||||||
24,264 | Johnson & Johnson | 2,440,959 |
36 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Health Care - Products — continued | ||||||||||
26,495 | Medtronic Plc | 2,066,345 | ||||||||
7,015 | Zimmer Holdings, Inc. | 824,403 | ||||||||
|
| |||||||||
6,307,760 | ||||||||||
|
| |||||||||
Health Care - Services — 2.2% | ||||||||||
6,679 | Aetna, Inc. | 711,514 | ||||||||
13,675 | Anthem, Inc. | 2,111,557 | ||||||||
4,772 | Humana, Inc. | 849,511 | ||||||||
7,300 | Laboratory Corp. of America Holdings* | 920,457 | ||||||||
27,551 | Quest Diagnostics, Inc. | 2,117,294 | ||||||||
11,262 | UnitedHealth Group, Inc. | 1,332,182 | ||||||||
|
| |||||||||
8,042,515 | ||||||||||
|
| |||||||||
Holding Companies - Diversified — 0.2% | ||||||||||
27,000 | Horizon Pharma Plc* ‡ | 701,190 | ||||||||
|
| |||||||||
Insurance — 6.7% | ||||||||||
13,350 | ACE, Ltd. | 1,488,391 | ||||||||
58,439 | Allstate Corp. (The) | 4,159,104 | ||||||||
12,387 | American International Group, Inc. | 678,684 | ||||||||
6,770 | Aon Plc | 650,732 | ||||||||
4,974 | Everest Re Group, Ltd. | 865,476 | ||||||||
44,995 | Hartford Financial Services Group, Inc. (The) | 1,881,691 | ||||||||
20,410 | Lincoln National Corp. | 1,172,759 | ||||||||
80,765 | MetLife, Inc. | 4,082,671 | ||||||||
20,251 | Prudential Financial, Inc. | 1,626,358 | ||||||||
32,048 | Travelers Cos., Inc. (The) | 3,465,350 | ||||||||
2,775 | Validus Holdings, Ltd. | 116,827 | ||||||||
50,088 | Voya Financial, Inc. | 2,159,294 | ||||||||
55,721 | XL Group Plc | 2,050,533 | ||||||||
|
| |||||||||
24,397,870 | ||||||||||
|
| |||||||||
Internet — 0.4% | ||||||||||
8,110 | Check Point Software Technologies, Ltd.* | 664,777 | ||||||||
388 | Google, Inc. Class A* | 215,223 | ||||||||
430 | Google, Inc. Class C* | 235,640 | ||||||||
14,941 | Liberty Interactive Corp. Class A* | 436,128 | ||||||||
|
| |||||||||
1,551,768 | ||||||||||
|
| |||||||||
Iron & Steel — 0.4% | ||||||||||
24,840 | Reliance Steel & Aluminum Co. | 1,517,227 | ||||||||
|
| |||||||||
Leisure Time — 0.4% | ||||||||||
27,832 | Carnival Corp. | 1,331,483 | ||||||||
|
| |||||||||
Machinery - Construction & Mining — 0.6% | ||||||||||
6,470 | Caterpillar, Inc. | 517,794 | ||||||||
23,720 | Joy Global, Inc. | 929,350 | ||||||||
26,582 | Terex Corp. | 706,815 | ||||||||
|
| |||||||||
2,153,959 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 37 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Machinery - Diversified — 0.1% | ||||||||||
2,924 | Cummins, Inc. | 405,383 | ||||||||
|
| |||||||||
Media — 3.8% | ||||||||||
7,914 | CBS Corp. Class B | 479,826 | ||||||||
15,146 | Comcast Corp. Class A | 855,295 | ||||||||
20,103 | DIRECTV* | 1,710,765 | ||||||||
8,499 | Liberty Broadband Corp. Class C* | 481,043 | ||||||||
34,880 | Liberty Global Plc Series C* | 1,737,373 | ||||||||
16,950 | Liberty Media Corp. Series C* | 647,490 | ||||||||
8,485 | Liberty Media Corp. - Capital Series A* | 327,097 | ||||||||
20,993 | News Corp. Class A* | 336,098 | ||||||||
7,890 | Scripps Networks Interactive, Inc. Class A | 540,938 | ||||||||
189,839 | Sirius XM Holdings, Inc.* | 725,185 | ||||||||
15,221 | Time Warner, Inc. | 1,285,261 | ||||||||
10,756 | Time, Inc. | 241,365 | ||||||||
30,100 | Tribune Media Co. Class A | 1,830,381 | ||||||||
13,905 | Twenty-First Century Fox, Inc. Class A | 470,545 | ||||||||
33,186 | Viacom, Inc. Class B | 2,266,604 | ||||||||
|
| |||||||||
13,935,266 | ||||||||||
|
| |||||||||
Mining — 0.6% | ||||||||||
25,810 | Barrick Gold Corp. | 282,878 | ||||||||
20,470 | Rio Tinto Plc, Sponsored ADR‡ | 847,458 | ||||||||
13,372 | Vulcan Materials Co. | 1,127,259 | ||||||||
|
| |||||||||
2,257,595 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 2.4% | ||||||||||
10,865 | Crane Co. | 678,085 | ||||||||
13,100 | Eaton Corp. Plc | 890,014 | ||||||||
74,750 | General Electric Co. | 1,854,547 | ||||||||
21,151 | Honeywell International, Inc. | 2,206,261 | ||||||||
9,776 | Illinois Tool Works, Inc. | 949,640 | ||||||||
31,623 | Ingersoll-Rand Plc | 2,152,894 | ||||||||
|
| |||||||||
8,731,441 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.3% | ||||||||||
10,435 | Avery Dennison Corp. | 552,116 | ||||||||
52,562 | Xerox Corp. | 675,422 | ||||||||
|
| |||||||||
1,227,538 | ||||||||||
|
| |||||||||
Oil & Gas — 9.5% | ||||||||||
28,414 | Anadarko Petroleum Corp. | 2,352,963 | ||||||||
14,540 | Apache Corp. | 877,198 | ||||||||
63,052 | BP Plc, Sponsored ADR | 2,465,964 | ||||||||
86,535 | Canadian Natural Resources, Ltd. | 2,657,490 | ||||||||
10,500 | Cimarex Energy Co. | 1,208,445 | ||||||||
21,300 | Continental Resources, Inc.* | 930,171 | ||||||||
10,193 | EOG Resources, Inc. | 934,596 |
38 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Oil & Gas — continued | ||||||||||
9,775 | EQT Corp. | 810,054 | ||||||||
33,419 | Hess Corp. | 2,268,148 | ||||||||
25,728 | Marathon Oil Corp. | 671,758 | ||||||||
44,814 | Marathon Petroleum Corp. | 4,588,505 | ||||||||
80,751 | Occidental Petroleum Corp. | 5,894,823 | ||||||||
75,747 | Phillips 66 | 5,953,714 | ||||||||
28,290 | QEP Resources, Inc. | 589,847 | ||||||||
7,800 | Rice Energy, Inc.* ‡ | 169,728 | ||||||||
30,948 | Valero Energy Corp. | 1,968,912 | ||||||||
|
| |||||||||
34,342,316 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.8% | ||||||||||
27,330 | Cameron International Corp.* | 1,233,130 | ||||||||
68,132 | Halliburton Co. | 2,989,632 | ||||||||
29,512 | Schlumberger, Ltd. | 2,462,481 | ||||||||
|
| |||||||||
6,685,243 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.4% | ||||||||||
14,110 | Crown Holdings, Inc.* | 762,222 | ||||||||
7,967 | Packaging Corp. of America | 622,940 | ||||||||
|
| |||||||||
1,385,162 | ||||||||||
|
| |||||||||
Pharmaceuticals — 8.5% | ||||||||||
38,990 | AbbVie, Inc. | 2,282,475 | ||||||||
10,652 | Bristol-Myers Squibb Co. | 687,054 | ||||||||
23,738 | Cardinal Health, Inc. | 2,142,829 | ||||||||
19,550 | Eli Lilly & Co. | 1,420,307 | ||||||||
13,243 | Endo International Plc* | 1,187,897 | ||||||||
26,386 | Express Scripts Holding Co.* | 2,289,513 | ||||||||
10,680 | Gilead Sciences, Inc.* | 1,048,028 | ||||||||
3,100 | Jazz Pharmaceuticals Plc* | 535,649 | ||||||||
24,250 | Keryx Biopharmaceuticals, Inc.* ‡ | 308,703 | ||||||||
72,523 | Merck & Co., Inc. | 4,168,622 | ||||||||
24,276 | Mylan NV* | 1,440,781 | ||||||||
25,957 | Omnicare, Inc. | 2,000,246 | ||||||||
263,406 | Pfizer, Inc. | 9,163,895 | ||||||||
1,995 | Shire Plc, ADR | 477,384 | ||||||||
19,280 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 1,201,144 | ||||||||
9,796 | Zoetis, Inc. | 453,457 | ||||||||
|
| |||||||||
30,807,984 | ||||||||||
|
| |||||||||
REITS — 0.6% | ||||||||||
20,735 | American Homes 4 Rent Class A REIT | 343,164 | ||||||||
53,200 | Hatteras Financial Corp. REIT | 966,112 | ||||||||
88,330 | Two Harbors Investment Corp. REIT | 938,065 | ||||||||
|
| |||||||||
2,247,341 | ||||||||||
|
| |||||||||
Retail — 5.0% | ||||||||||
13,166 | Bed Bath & Beyond, Inc.* | 1,010,820 | ||||||||
43,898 | CVS Health Corp. | 4,530,712 |
See accompanying Notes to the Financial Statements. | 39 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Retail — continued | ||||||||||
6,078 | Dollar General Corp.* | 458,159 | ||||||||
38,949 | Gap, Inc. (The) | 1,687,660 | ||||||||
14,970 | Home Depot, Inc. (The) | 1,700,742 | ||||||||
27,347 | Kohl’s Corp. | 2,139,903 | ||||||||
28,537 | Lowe’s Cos., Inc. | 2,122,867 | ||||||||
28,192 | Macy’s, Inc. | 1,829,943 | ||||||||
3,220 | McDonald’s Corp. | 313,757 | ||||||||
15,900 | Michael Kors Holdings, Ltd.* | 1,045,425 | ||||||||
9,296 | PVH Corp. | 990,582 | ||||||||
37,094 | Rite Aid Corp.* | 322,347 | ||||||||
|
| |||||||||
18,152,917 | ||||||||||
|
| |||||||||
Semiconductors — 2.2% | ||||||||||
124,393 | Applied Materials, Inc. | 2,806,306 | ||||||||
12,300 | Lam Research Corp. | 863,890 | ||||||||
59,375 | Micron Technology, Inc.* | 1,610,844 | ||||||||
7,965 | NXP Semiconductors NV* | 799,367 | ||||||||
36,870 | ON Semiconductor Corp.* | 446,496 | ||||||||
22,469 | Texas Instruments, Inc. | 1,284,890 | ||||||||
|
| |||||||||
7,811,793 | ||||||||||
|
| |||||||||
Software — 1.9% | ||||||||||
78,345 | Activision Blizzard, Inc. | 1,780,390 | ||||||||
7,635 | Fidelity National Information Services, Inc. | 519,638 | ||||||||
50,285 | Microsoft Corp. | 2,044,337 | ||||||||
55,807 | Oracle Corp. | 2,408,072 | ||||||||
|
| |||||||||
6,752,437 | ||||||||||
|
| |||||||||
Telecommunications — 6.1% | ||||||||||
30,189 | America Movil SAB de CV Series L, Sponsored ADR | 617,667 | ||||||||
42,142 | AT&T, Inc. | 1,375,936 | ||||||||
55,930 | CenturyLink, Inc. | 1,932,381 | ||||||||
34,800 | China Mobile, Ltd., Sponsored ADR‡ | 2,263,044 | ||||||||
258,300 | Cisco Systems, Inc. | 7,109,708 | ||||||||
85,686 | Corning, Inc. | 1,943,358 | ||||||||
3,600 | Harris Corp. | 283,536 | ||||||||
32,793 | Juniper Networks, Inc. | 740,466 | ||||||||
33,690 | Mobile Telesystems OJSC, Sponsored ADR | 340,269 | ||||||||
12,327 | Motorola Solutions, Inc. | 821,841 | ||||||||
38,435 | Nippon Telegraph & Telephone Corp., ADR | 1,184,567 | ||||||||
13,687 | TELUS Corp. | 454,956 | ||||||||
59,630 | Verizon Communications, Inc. | 2,899,807 | ||||||||
10,042 | Vodafone Group Plc, Sponsored ADR | 328,173 | ||||||||
|
| |||||||||
22,295,709 | ||||||||||
|
| |||||||||
Transportation — 0.9% | ||||||||||
21,080 | CH Robinson Worldwide, Inc. | 1,543,477 | ||||||||
9,577 | FedEx Corp. | 1,584,516 | ||||||||
|
| |||||||||
3,127,993 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $298,173,112) | 347,123,389 | |||||||||
|
|
40 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
INVESTMENT COMPANY — 0.1% | ||||||||||
Investment Company — 0.1% | ||||||||||
4,376 | iShares Russell 1000 Value Index Fund‡ | 451,078 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $454,220) | 451,078 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 6.5% | ||||||||||
Bank Deposit — 4.1% | ||||||||||
14,833,629 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 14,833,629 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.4% | ||||||||||
8,633,539 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 8,633,539 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $23,467,168) | 23,467,168 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.2% (Cost $322,094,500) | 371,041,635 | |||||||||
Other Assets and Liabilities (net) — (2.2)% | (8,158,768 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 362,882,867 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
See accompanying Notes to the Financial Statements. | 41 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
82 | S&P 500 E-mini Index | June 2015 | $ | 8,449,280 | $ | (151,467 | ) | |||||||||||
19 | S&P Mid 400 E-mini Index | June 2015 | 2,887,620 | 20,433 | ||||||||||||||
|
| |||||||||||||||||
$ | (131,034 | ) | ||||||||||||||||
|
|
42 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 95.6 | ||||
Investment Company | 0.1 | ||||
Futures Contracts | 0.0 | ||||
Short-Term Investments | 6.5 | ||||
Other Assets and Liabilities (net) | (2.2 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 43 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.8% | ||||||||||
Aerospace & Defense — 1.2% | ||||||||||
50,475 | BE Aerospace, Inc. | 3,211,220 | ||||||||
10,445 | TransDigm Group, Inc. | 2,284,530 | ||||||||
|
| |||||||||
5,495,750 | ||||||||||
|
| |||||||||
Airlines — 0.4% | ||||||||||
85,050 | JetBlue Airways Corp.* | 1,637,213 | ||||||||
13,660 | Virgin America, Inc.* ‡ | 415,264 | ||||||||
|
| |||||||||
2,052,477 | ||||||||||
|
| |||||||||
Apparel — 1.2% | ||||||||||
16,620 | Deckers Outdoor Corp.* | 1,211,099 | ||||||||
15,070 | G-III Apparel Group, Ltd.* | 1,697,636 | ||||||||
81,988 | Hanesbrands, Inc. | 2,747,418 | ||||||||
|
| |||||||||
5,656,153 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 0.8% | ||||||||||
18,813 | Tenneco, Inc.* | 1,080,242 | ||||||||
21,310 | WABCO Holdings, Inc.* | 2,618,573 | ||||||||
|
| |||||||||
3,698,815 | ||||||||||
|
| |||||||||
Banks — 1.2% | ||||||||||
31,820 | Bank of the Ozarks, Inc. | 1,175,113 | ||||||||
44,645 | BankUnited, Inc. | 1,461,677 | ||||||||
50,210 | First Republic Bank | 2,866,489 | ||||||||
|
| |||||||||
5,503,279 | ||||||||||
|
| |||||||||
Biotechnology — 3.0% | ||||||||||
74,460 | Aegerion Pharmaceuticals, Inc.* ‡ | 1,948,618 | ||||||||
269,220 | ARIAD Pharmaceuticals, Inc.* ‡ | 2,218,373 | ||||||||
45,060 | Merrimack Pharmaceuticals, Inc.* | 535,313 | ||||||||
37,180 | Prothena Corp. Plc* | 1,418,045 | ||||||||
52,850 | PTC Therapeutics, Inc.* | 3,215,922 | ||||||||
4,065 | Puma Biotechnology, Inc.* | 959,787 | ||||||||
22,075 | United Therapeutics Corp.* | 3,806,503 | ||||||||
|
| |||||||||
14,102,561 | ||||||||||
|
| |||||||||
Building Materials — 1.1% | ||||||||||
36,821 | Boise Cascade Co.* | 1,379,315 | ||||||||
21,890 | Lennox International, Inc. | 2,444,894 | ||||||||
9,642 | Martin Marietta Materials, Inc. | 1,347,951 | ||||||||
|
| |||||||||
5,172,160 | ||||||||||
|
| |||||||||
Chemicals — 2.5% | ||||||||||
24,822 | Axiall Corp. | 1,165,145 | ||||||||
33,927 | HB Fuller Co. | 1,454,450 | ||||||||
101,420 | Huntsman Corp. | 2,248,481 |
44 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Chemicals — continued | ||||||||||
73,030 | PolyOne Corp. | 2,727,671 | ||||||||
89,074 | RPM International, Inc. | 4,274,661 | ||||||||
|
| |||||||||
11,870,408 | ||||||||||
|
| |||||||||
Coal — 0.6% | ||||||||||
94,050 | Consol Energy, Inc. | 2,623,055 | ||||||||
|
| |||||||||
Commercial Services — 6.5% | ||||||||||
24,219 | Acacia Research Corp.‡ | 259,143 | ||||||||
29,409 | Bright Horizons Family Solutions, Inc.* | 1,507,799 | ||||||||
14,380 | CoStar Group, Inc.* | 2,844,795 | ||||||||
18,596 | Euronet Worldwide, Inc.* | 1,092,515 | ||||||||
89,830 | Genpact, Ltd.* | 2,088,548 | ||||||||
128,068 | Heartland Payment Systems, Inc. | 5,999,986 | ||||||||
22,105 | Huron Consulting Group, Inc.* | 1,462,246 | ||||||||
30,760 | Nord Anglia Education, Inc.* ‡ | 698,867 | ||||||||
33,453 | On Assignment, Inc.* | 1,283,592 | ||||||||
148,755 | Ritchie Bros Auctioneers, Inc. | 3,709,950 | ||||||||
39,980 | Robert Half International, Inc. | 2,419,590 | ||||||||
105,790 | Service Corp. International | 2,755,829 | ||||||||
32,877 | Team Health Holdings, Inc.* | 1,923,633 | ||||||||
61,220 | Total System Services, Inc. | 2,335,543 | ||||||||
|
| |||||||||
30,382,036 | ||||||||||
|
| |||||||||
Computers — 3.6% | ||||||||||
59,500 | Fortinet, Inc.* | 2,079,525 | ||||||||
23,530 | IHS, Inc. Class A* | 2,676,773 | ||||||||
107,440 | j2 Global, Inc. | 7,056,659 | ||||||||
283,674 | Logitech International SA | 3,752,920 | ||||||||
16,486 | Synaptics, Inc.* ‡ | 1,340,394 | ||||||||
|
| |||||||||
16,906,271 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.9% | ||||||||||
66,715 | HD Supply Holdings, Inc.* | 2,078,506 | ||||||||
77,180 | Ingram Micro, Inc. Class A* | 1,938,761 | ||||||||
|
| |||||||||
4,017,267 | ||||||||||
|
| |||||||||
Diversified Financial Services — 3.9% | ||||||||||
31,065 | Affiliated Managers Group, Inc.* | 6,672,140 | ||||||||
19,740 | CBOE Holdings, Inc. | 1,133,175 | ||||||||
56,835 | Ellie Mae, Inc.* ‡ | 3,143,544 | ||||||||
25,581 | Lazard, Ltd. Class A | 1,345,305 | ||||||||
56,010 | Raymond James Financial, Inc. | 3,180,248 | ||||||||
25,722 | WageWorks, Inc.* | 1,371,754 | ||||||||
68,400 | WisdomTree Investments, Inc.‡ | 1,467,864 | ||||||||
|
| |||||||||
18,314,030 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 1.1% | ||||||||||
26,755 | Belden, Inc. | 2,503,198 |
See accompanying Notes to the Financial Statements. | 45 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Electrical Components & Equipment — continued | ||||||||||
28,945 | Generac Holdings, Inc.* ‡ | 1,409,332 | ||||||||
28,654 | Mobileye NV* ‡ | 1,204,328 | ||||||||
|
| |||||||||
5,116,858 | ||||||||||
|
| |||||||||
Entertainment — 0.9% | ||||||||||
49,733 | Cinemark Holdings, Inc. | 2,241,466 | ||||||||
19,455 | Vail Resorts, Inc. | 2,012,036 | ||||||||
|
| |||||||||
4,253,502 | ||||||||||
|
| |||||||||
Food — 0.3% | ||||||||||
35,206 | WhiteWave Foods Co. (The) Class A* | 1,561,034 | ||||||||
|
| |||||||||
Forest Products & Paper — 0.2% | ||||||||||
31,880 | KapStone Paper and Packaging Corp. | 1,046,939 | ||||||||
|
| |||||||||
Health Care - Products — 5.2% | ||||||||||
77,588 | ABIOMED, Inc.* | 5,553,749 | ||||||||
62,954 | Bio-Techne Corp. | 6,313,657 | ||||||||
53,930 | DexCom, Inc.* | 3,361,996 | ||||||||
86,516 | Endologix, Inc.* ‡ | 1,476,828 | ||||||||
22,790 | Greatbatch, Inc.* | 1,318,401 | ||||||||
119,955 | Spectranetics Corp.* ‡ | 4,169,636 | ||||||||
85,760 | Wright Medical Group, Inc.* | 2,212,608 | ||||||||
|
| |||||||||
24,406,875 | ||||||||||
|
| |||||||||
Health Care - Services — 4.0% | ||||||||||
53,104 | Acadia Healthcare Co., Inc.* | 3,802,246 | ||||||||
77,250 | Brookdale Senior Living, Inc.* | 2,916,960 | ||||||||
73,450 | Community Health Systems, Inc.* | 3,839,966 | ||||||||
46,728 | Envision Healthcare Holdings, Inc.* | 1,792,019 | ||||||||
21,646 | Magellan Health, Inc.* | 1,532,970 | ||||||||
10,663 | Mettler-Toledo International, Inc.* | 3,504,395 | ||||||||
16,927 | WellCare Health Plans, Inc.* | 1,548,143 | ||||||||
|
| |||||||||
18,936,699 | ||||||||||
|
| |||||||||
Home Builders — 0.6% | ||||||||||
121,520 | PulteGroup, Inc. | 2,701,390 | ||||||||
|
| |||||||||
Home Furnishings — 1.4% | ||||||||||
34,253 | Harman International Industries, Inc. | 4,577,228 | ||||||||
37,040 | Tempur Sealy International, Inc.* | 2,138,690 | ||||||||
|
| |||||||||
6,715,918 | ||||||||||
|
| |||||||||
Household Products & Wares — 0.8% | ||||||||||
74,510 | Jarden Corp.* | 3,941,579 | ||||||||
|
| |||||||||
Internet — 5.0% | ||||||||||
122,729 | Coupons.com, Inc.* ‡ | 1,440,838 | ||||||||
52,431 | CyrusOne, Inc. REIT | 1,631,653 |
46 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Internet — continued | ||||||||||
73,065 | HomeAway, Inc.* | 2,204,371 | ||||||||
49,687 | Marketo, Inc.* ‡ | 1,272,981 | ||||||||
174,559 | NIC, Inc. | 3,084,457 | ||||||||
199,120 | Pandora Media, Inc.* ‡ | 3,227,735 | ||||||||
37,040 | Rackspace Hosting, Inc.* | 1,910,894 | ||||||||
61,755 | Shutterstock, Inc.* ‡ | 4,240,716 | ||||||||
26,925 | Splunk, Inc.* | 1,593,960 | ||||||||
59,540 | Yelp, Inc.* ‡ | 2,819,219 | ||||||||
|
| |||||||||
23,426,824 | ||||||||||
|
| |||||||||
Leisure Time — 0.3% | ||||||||||
11,672 | Polaris Industries, Inc. | 1,646,919 | ||||||||
|
| |||||||||
Lodging — 0.2% | ||||||||||
11,361 | Wyndham Worldwide Corp. | 1,027,830 | ||||||||
|
| |||||||||
Machinery - Diversified — 4.7% | ||||||||||
41,621 | Cognex Corp.* | 2,063,985 | ||||||||
82,600 | Graco, Inc. | 5,960,416 | ||||||||
34,385 | Middleby Corp. (The)* | 3,529,620 | ||||||||
13,514 | Wabtec Corp. | 1,283,965 | ||||||||
103,275 | Zebra Technologies Corp. Class A* | 9,368,592 | ||||||||
|
| |||||||||
22,206,578 | ||||||||||
|
| |||||||||
Media — 0.6% | ||||||||||
50,990 | Nexstar Broadcasting Group, Inc. Class A | 2,917,648 | ||||||||
|
| |||||||||
Metal Fabricate & Hardware — 1.0% | ||||||||||
92,700 | Timken Co. (The) | 3,906,378 | ||||||||
31,120 | TimkenSteel Corp. | 823,746 | ||||||||
|
| |||||||||
4,730,124 | ||||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 0.4% | ||||||||||
22,394 | Carlisle Cos., Inc. | 2,074,356 | ||||||||
|
| |||||||||
Office Furnishings — 0.1% | ||||||||||
28,720 | Knoll, Inc. | 672,910 | ||||||||
|
| |||||||||
Oil & Gas — 1.7% | ||||||||||
87,777 | Bill Barrett Corp.* ‡ | 728,549 | ||||||||
160,080 | Denbury Resources, Inc.‡ | 1,166,983 | ||||||||
29,160 | Gulfport Energy Corp.* | 1,338,736 | ||||||||
61,549 | Oasis Petroleum, Inc.* ‡ | 875,227 | ||||||||
40,550 | Tesoro Corp. | 3,701,809 | ||||||||
|
| |||||||||
7,811,304 | ||||||||||
|
| |||||||||
Oil & Gas Services — 1.0% | ||||||||||
45,263 | Core Laboratories NV‡ | 4,729,531 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 47 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Packaging & Containers — 1.5% | ||||||||||
69,003 | Berry Plastics Group, Inc.* | 2,497,218 | ||||||||
19,584 | Crown Holdings, Inc.* | 1,057,928 | ||||||||
43,510 | Packaging Corp. of America | 3,402,047 | ||||||||
|
| |||||||||
6,957,193 | ||||||||||
|
| |||||||||
Pharmaceuticals — 5.9% | ||||||||||
55,979 | ACADIA Pharmaceuticals, Inc.* | 1,824,356 | ||||||||
40,670 | Akorn, Inc.* | 1,932,232 | ||||||||
51,790 | Align Technology, Inc.* | 2,785,525 | ||||||||
19,027 | Alkermes Plc* | 1,160,076 | ||||||||
35,270 | DENTSPLY International, Inc. | 1,794,890 | ||||||||
43,788 | Jazz Pharmaceuticals Plc* | 7,566,129 | ||||||||
38,232 | Medivation, Inc.* | 4,934,604 | ||||||||
75,285 | Neurocrine Biosciences, Inc.* | 2,989,567 | ||||||||
19,780 | Pacira Pharmaceuticals, Inc.* | 1,757,453 | ||||||||
11,979 | Sirona Dental Systems, Inc.* | 1,077,990 | ||||||||
|
| |||||||||
27,822,822 | ||||||||||
|
| |||||||||
Real Estate — 0.6% | ||||||||||
17,345 | Jones Lang Lasalle, Inc. | 2,955,588 | ||||||||
|
| |||||||||
REITS — 2.4% | ||||||||||
221,340 | Equity Commonwealth REIT* | 5,876,577 | ||||||||
101,382 | Outfront Media, Inc. REIT | 3,033,350 | ||||||||
106,500 | Starwood Property Trust, Inc. REIT | 2,587,950 | ||||||||
|
| |||||||||
11,497,877 | ||||||||||
|
| |||||||||
Retail — 10.3% | ||||||||||
24,250 | Asbury Automotive Group, Inc.* | 2,015,175 | ||||||||
20,765 | Burlington Stores, Inc.* | 1,233,856 | ||||||||
23,972 | Children’s Place (The), Inc. | 1,538,763 | ||||||||
70,645 | DineEquity, Inc. | 7,559,721 | ||||||||
74,005 | Dunkin’ Brands Group, Inc. | 3,519,678 | ||||||||
55,675 | Jack in the Box, Inc. | 5,340,346 | ||||||||
25,930 | Red Robin Gourmet Burgers, Inc.* | 2,255,910 | ||||||||
31,620 | Restoration Hardware Holdings, Inc.* ‡ | 3,136,388 | ||||||||
204,150 | Sally Beauty Holdings, Inc.* | 7,016,636 | ||||||||
18,160 | Signet Jewelers, Ltd. | 2,520,426 | ||||||||
51,970 | Ulta Salon Cosmetics & Fragrance, Inc.* | 7,839,675 | ||||||||
196,040 | Wendy’s Co. (The) | 2,136,836 | ||||||||
27,820 | Williams-Sonoma, Inc. | 2,217,532 | ||||||||
|
| |||||||||
48,330,942 | ||||||||||
|
| |||||||||
Semiconductors — 2.0% | ||||||||||
13,920 | Cirrus Logic, Inc.* | 462,979 | ||||||||
28,660 | Mellanox Technologies, Ltd.* | 1,299,445 | ||||||||
266,280 | ON Semiconductor Corp.* | 3,224,651 | ||||||||
57,850 | Semtech Corp.* | 1,541,413 |
48 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Semiconductors — continued | ||||||||||
14,241 | Skyworks Solutions, Inc. | 1,399,748 | ||||||||
55,830 | SunEdison, Inc.* ‡ | 1,339,920 | ||||||||
|
| |||||||||
9,268,156 | ||||||||||
|
| |||||||||
Software — 10.9% | ||||||||||
193,910 | Allscripts Healthcare Solutions, Inc.* | 2,319,164 | ||||||||
20,300 | athenahealth, Inc.* ‡ | 2,423,617 | ||||||||
121,137 | Blackbaud, Inc. | 5,739,471 | ||||||||
46,586 | Commvault Systems, Inc.* | 2,035,808 | ||||||||
61,923 | Cornerstone OnDemand, Inc.* | 1,788,955 | ||||||||
84,204 | Imperva, Inc.* | 3,595,511 | ||||||||
20,530 | Informatica Corp.* | 900,343 | ||||||||
119,450 | MSCI, Inc. Class A | 7,323,480 | ||||||||
13,723 | NetSuite, Inc.* ‡ | 1,272,945 | ||||||||
43,055 | Proofpoint, Inc.* | 2,549,717 | ||||||||
173,106 | QLIK Technologies, Inc.* | 5,388,790 | ||||||||
45,210 | ServiceNow, Inc.* | 3,561,644 | ||||||||
43,060 | SolarWinds, Inc.* | 2,206,394 | ||||||||
18,750 | Solera Holdings, Inc. | 968,625 | ||||||||
17,852 | SS&C Technologies Holdings, Inc. | 1,112,180 | ||||||||
8,055 | Ultimate Software Group (The), Inc.* | 1,368,988 | ||||||||
199,551 | VeriFone Systems, Inc.* | 6,962,334 | ||||||||
|
| |||||||||
51,517,966 | ||||||||||
|
| |||||||||
Telecommunications — 1.7% | ||||||||||
19,450 | Arista Networks, Inc.* ‡ | 1,371,809 | ||||||||
76,470 | Aruba Networks, Inc.* | 1,872,750 | ||||||||
31,040 | Palo Alto Networks, Inc.* | 4,534,323 | ||||||||
|
| |||||||||
7,778,882 | ||||||||||
|
| |||||||||
Transportation — 3.1% | ||||||||||
114,425 | Expeditors International of Washington, Inc. | 5,512,996 | ||||||||
61,748 | Genesee & Wyoming, Inc. Class A* | 5,954,977 | ||||||||
72,612 | XPO Logistics, Inc.* ‡ | 3,301,668 | ||||||||
|
| |||||||||
14,769,641 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $364,529,719) | 446,618,147 | |||||||||
|
| |||||||||
WARRANTS — 0.0% | ||||||||||
Oil & Gas — 0.0% | ||||||||||
27,862 | Magnum Hunter Resources Corp., Strike Price $8.50, Expires 4/15/16* ‡ **** | — | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $—) | — | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 14.8% | ||||||||||
Bank Deposit — 5.6% | ||||||||||
26,170,543 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 26,170,543 | ||||||||
|
|
See accompanying Notes to the Financial Statements. | 49 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Securities Lending Collateral — 9.2% | ||||||||||
43,387,898 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 43,387,898 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $69,558,441) | 69,558,441 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 109.6% (Cost $434,088,160) | 516,176,588 | |||||||||
Other Assets and Liabilities (net) — (9.6)% | (45,283,983 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 470,892,605 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $0. |
50 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
86 | Russell 2000 Mini Index | June 2015 | $ | 10,740,540 | $ | 106,811 | ||||||||||||
22 | S&P Mid 400 E-mini Index | June 2015 | 3,343,560 | 45,114 | ||||||||||||||
24 | NASDAQ 100 E-mini Index | June 2015 | 2,078,160 | (5,648 | ) | |||||||||||||
|
| |||||||||||||||||
$ | 146,277 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 51 |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.8 | ||||
Futures Contracts | 0.0 | ||||
Warrants | 0.0 | ||||
Short-Term Investments | 14.8 | ||||
Other Assets and Liabilities (net) | (9.6 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
52 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 94.1% | ||||||||||
Aerospace & Defense — 2.0% | ||||||||||
26,284 | Astronics Corp.* | 1,937,131 | ||||||||
53,390 | KLX, Inc.* | 2,057,651 | ||||||||
36,452 | Orbital ATK, Inc. | 2,793,317 | ||||||||
45,755 | Spirit Aerosystems Holdings, Inc. Class A* | 2,388,868 | ||||||||
|
| |||||||||
9,176,967 | ||||||||||
|
| |||||||||
Airlines — 0.3% | ||||||||||
85,190 | JetBlue Airways Corp.* | 1,639,908 | ||||||||
|
| |||||||||
Apparel — 0.8% | ||||||||||
116,711 | Ascena Retail Group, Inc.* | 1,693,477 | ||||||||
53,045 | Hanesbrands, Inc. | 1,777,538 | ||||||||
|
| |||||||||
3,471,015 | ||||||||||
|
| |||||||||
Auto Parts & Equipment — 2.0% | ||||||||||
143,000 | Allison Transmission Holdings, Inc. | 4,567,420 | ||||||||
29,380 | Motorcar Parts of America, Inc.* | 816,470 | ||||||||
117,911 | Remy International, Inc. | 2,618,804 | ||||||||
38,220 | Tower International, Inc.* | 1,016,652 | ||||||||
|
| |||||||||
9,019,346 | ||||||||||
|
| |||||||||
Banks — 4.9% | ||||||||||
84,370 | Capital Bank Financial Corp. Class A* | 2,329,456 | ||||||||
214,875 | Huntington Bancshares, Inc. | 2,374,369 | ||||||||
12,512 | International Bancshares Corp. | 325,687 | ||||||||
82,920 | PacWest Bancorp | 3,888,119 | ||||||||
54,096 | PrivateBancorp, Inc. | 1,902,556 | ||||||||
11,549 | Prosperity Bancshares, Inc. | 606,092 | ||||||||
136,870 | United Community Banks, Inc. | 2,584,106 | ||||||||
141,508 | Webster Financial Corp. | 5,242,871 | ||||||||
104,935 | Western Alliance Bancorp* | 3,110,273 | ||||||||
|
| |||||||||
22,363,529 | ||||||||||
|
| |||||||||
Biotechnology — 2.0% | ||||||||||
51,721 | Bio-Rad Laboratories, Inc. Class A* | 6,991,645 | ||||||||
58,660 | Myriad Genetics, Inc.* ‡ | 2,076,564 | ||||||||
|
| |||||||||
9,068,209 | ||||||||||
|
| |||||||||
Building Materials — 1.0% | ||||||||||
21,185 | Boise Cascade Co.* | 793,590 | ||||||||
45,925 | Continental Building Products, Inc.* | 1,037,446 | ||||||||
161,580 | Louisiana-Pacific Corp.* | 2,667,686 | ||||||||
|
| |||||||||
4,498,722 | ||||||||||
|
| |||||||||
Chemicals — 0.8% | ||||||||||
59,906 | American Vanguard Corp.‡ | 636,202 |
See accompanying Notes to the Financial Statements. | 53 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Chemicals — continued | ||||||||||
39,870 | Celanese Corp. Series A | 2,227,138 | ||||||||
25,200 | Olin Corp. | 807,408 | ||||||||
|
| |||||||||
3,670,748 | ||||||||||
|
| |||||||||
Commercial Services — 5.4% | ||||||||||
139,780 | ADT Corp. (The)‡ | 5,803,666 | ||||||||
72,365 | Booz Allen Hamilton Holding Corp. | 2,094,243 | ||||||||
122,466 | Convergys Corp. | 2,800,797 | ||||||||
41,500 | CoreLogic, Inc.* | 1,463,705 | ||||||||
23,725 | Euronet Worldwide, Inc.* | 1,393,844 | ||||||||
31,330 | ICF International, Inc.* | 1,279,831 | ||||||||
19,450 | KAR Auction Services, Inc. | 737,739 | ||||||||
50,375 | Korn/Ferry International | 1,655,826 | ||||||||
71,125 | LifeLock, Inc.* | 1,003,574 | ||||||||
41,430 | ServiceMaster Global Holdings, Inc.* | 1,398,262 | ||||||||
60,600 | Sotheby’s‡ | 2,560,956 | ||||||||
108,310 | SP Plus Corp.* | 2,366,573 | ||||||||
|
| |||||||||
24,559,016 | ||||||||||
|
| |||||||||
Computers — 0.9% | ||||||||||
65,195 | Brocade Communications Systems, Inc. | 773,539 | ||||||||
72,410 | Sykes Enterprises, Inc.* | 1,799,388 | ||||||||
10,955 | Synaptics, Inc.* ‡ | 890,696 | ||||||||
15,265 | Synopsys, Inc.* | 707,075 | ||||||||
|
| |||||||||
4,170,698 | ||||||||||
|
| |||||||||
Cosmetics & Personal Care — 1.1% | ||||||||||
190,151 | Elizabeth Arden, Inc.* ‡ | 2,966,355 | ||||||||
59,795 | Inter Parfums, Inc. | 1,950,513 | ||||||||
|
| |||||||||
4,916,868 | ||||||||||
|
| |||||||||
Distribution & Wholesale — 0.9% | ||||||||||
60,820 | Owens & Minor, Inc. | 2,058,149 | ||||||||
35,210 | Tech Data Corp.* | 2,034,081 | ||||||||
|
| |||||||||
4,092,230 | ||||||||||
|
| |||||||||
Diversified Financial Services — 5.0% | ||||||||||
71,730 | AerCap Holdings NV* | 3,131,014 | ||||||||
93,759 | Blackhawk Network Holdings, Inc. Class B* | 3,333,132 | ||||||||
53,790 | CIT Group, Inc. | 2,427,005 | ||||||||
41,585 | E*TRADE Financial Corp.* | 1,187,460 | ||||||||
20,000 | Eaton Vance Corp. | 832,800 | ||||||||
204,529 | FNFV Group* | 2,883,859 | ||||||||
35,740 | Lazard, Ltd. Class A | 1,879,567 | ||||||||
23,883 | Outerwall, Inc.‡ | 1,579,144 | ||||||||
77,490 | Raymond James Financial, Inc. | 4,399,882 | ||||||||
60,750 | Santander Consumer USA Holdings, Inc. | 1,405,755 | ||||||||
|
| |||||||||
23,059,618 | ||||||||||
|
|
54 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Electric — 2.3% | ||||||||||
53,497 | Ameren Corp. | 2,257,573 | ||||||||
96,325 | Dynegy, Inc.* | 3,027,495 | ||||||||
51,125 | NRG Energy, Inc. | 1,287,839 | ||||||||
48,345 | Pinnacle West Capital Corp. | 3,081,993 | ||||||||
21,475 | Portland General Electric Co. | 796,508 | ||||||||
|
| |||||||||
10,451,408 | ||||||||||
|
| |||||||||
Electrical Components & Equipment — 0.4% | ||||||||||
29,325 | EnerSys | 1,883,838 | ||||||||
|
| |||||||||
Electronics — 2.5% | ||||||||||
77,845 | Coherent, Inc.* | 5,056,811 | ||||||||
12,712 | Cubic Corp. | 658,100 | ||||||||
79,780 | Dolby Laboratories, Inc. Class A | 3,044,405 | ||||||||
20,460 | OSI Systems, Inc.* | 1,519,360 | ||||||||
95,570 | Vishay Intertechnology, Inc. | 1,320,777 | ||||||||
|
| |||||||||
11,599,453 | ||||||||||
|
| |||||||||
Entertainment — 1.6% | ||||||||||
28,328 | Ascent Capital Group, Inc. Class A* | 1,127,738 | ||||||||
106,645 | International Speedway Corp. Class A | 3,477,693 | ||||||||
42,225 | Lions Gate Entertainment Corp. | 1,432,272 | ||||||||
16,818 | Madison Square Garden, Inc. Class A* | 1,423,644 | ||||||||
|
| |||||||||
7,461,347 | ||||||||||
|
| |||||||||
Environmental Control — 0.9% | ||||||||||
39,191 | Clean Harbors, Inc.* | 2,225,265 | ||||||||
59,150 | Darling International, Inc.* | 828,691 | ||||||||
18,740 | Progressive Waste Solutions, Ltd. | 550,581 | ||||||||
15,348 | US Ecology, Inc.‡ | 766,940 | ||||||||
|
| |||||||||
4,371,477 | ||||||||||
|
| |||||||||
Food — 2.6% | ||||||||||
79,850 | Aryzta AG, Unsponsored ADR* | 2,448,201 | ||||||||
10,534 | Ingles Markets, Inc. Class A | 521,222 | ||||||||
50,375 | Pilgrim’s Pride Corp.‡ | 1,137,971 | ||||||||
36,800 | Pinnacle Foods, Inc. | 1,501,808 | ||||||||
47,545 | TreeHouse Foods, Inc.* | 4,042,276 | ||||||||
12,290 | United Natural Foods, Inc.* | 946,822 | ||||||||
44,561 | Village Super Market, Inc. Class A | 1,400,998 | ||||||||
|
| |||||||||
11,999,298 | ||||||||||
|
| |||||||||
Forest Products & Paper — 1.9% | ||||||||||
31,920 | Clearwater Paper Corp.* | 2,084,376 | ||||||||
25,634 | Deltic Timber Corp. | 1,698,253 | ||||||||
178,333 | Glatfelter | 4,909,507 | ||||||||
|
| |||||||||
8,692,136 | ||||||||||
|
|
See accompanying Notes to the Financial Statements. | 55 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Gas — 1.6% | ||||||||||
50,085 | Atmos Energy Corp. | 2,769,701 | ||||||||
21,925 | Energen Corp. | 1,447,050 | ||||||||
65,455 | Laclede Group (The), Inc. | 3,352,605 | ||||||||
|
| |||||||||
7,569,356 | ||||||||||
|
| |||||||||
Health Care - Products — 2.3% | ||||||||||
195,370 | Bruker Corp.* | 3,608,484 | ||||||||
54,075 | Globus Medical, Inc. Class A* | 1,364,853 | ||||||||
38,680 | Halyard Health, Inc.* | 1,903,056 | ||||||||
65,950 | Hologic, Inc.* | 2,177,999 | ||||||||
32,600 | NuVasive, Inc.* | 1,499,274 | ||||||||
|
| |||||||||
10,553,666 | ||||||||||
|
| |||||||||
Health Care - Services — 1.8% | ||||||||||
27,505 | Centene Corp.* | 1,944,328 | ||||||||
77,050 | Kindred Healthcare, Inc. | 1,833,020 | ||||||||
10,805 | Laboratory Corp. of America Holdings* | 1,362,402 | ||||||||
25,925 | Universal Health Services, Inc. Class B | 3,051,632 | ||||||||
|
| |||||||||
8,191,382 | ||||||||||
|
| |||||||||
Home Builders — 0.6% | ||||||||||
169,470 | TRI Pointe Homes, Inc.* | 2,614,922 | ||||||||
|
| |||||||||
Home Furnishings — 0.3% | ||||||||||
51,840 | La-Z-Boy, Inc. | 1,457,222 | ||||||||
|
| |||||||||
Household Products & Wares — 0.5% | ||||||||||
105,110 | SodaStream International, Ltd.* ‡ | 2,129,529 | ||||||||
|
| |||||||||
Insurance — 6.5% | ||||||||||
6,311 | Alleghany Corp.* | 3,073,457 | ||||||||
23,855 | Allied World Assurance Co. Holdings AG | 963,742 | ||||||||
93,910 | Axis Capital Holdings, Ltd. | 4,843,878 | ||||||||
84,792 | Brown & Brown, Inc. | 2,807,463 | ||||||||
38,222 | HCC Insurance Holdings, Inc. | 2,166,041 | ||||||||
42,240 | Lincoln National Corp. | 2,427,110 | ||||||||
8,253 | Navigators Group, Inc.* | 642,413 | ||||||||
27,746 | Reinsurance Group of America, Inc. | 2,585,650 | ||||||||
85,214 | Voya Financial, Inc. | 3,673,576 | ||||||||
7,390 | White Mountains Insurance Group, Ltd. | 5,058,603 | ||||||||
39,275 | XL Group Plc | 1,445,320 | ||||||||
|
| |||||||||
29,687,253 | ||||||||||
|
| |||||||||
Internet — 0.5% | ||||||||||
32,340 | IAC/InterActiveCorp | 2,181,980 | ||||||||
|
| |||||||||
Investment Company — 0.6% | ||||||||||
62,394 | Capital Southwest Corp.‡ | 2,896,329 | ||||||||
|
|
56 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Iron & Steel — 0.5% | ||||||||||
87,425 | United States Steel Corp.‡ | 2,133,170 | ||||||||
|
| |||||||||
Leisure Time — 0.2% | ||||||||||
8,980 | Royal Caribbean Cruises, Ltd. | 735,013 | ||||||||
|
| |||||||||
Machinery - Diversified — 0.6% | ||||||||||
65,902 | Albany International Corp. Class A | 2,619,604 | ||||||||
|
| |||||||||
Media — 1.3% | ||||||||||
61,500 | Gannett Co., Inc. | 2,280,420 | ||||||||
80,750 | Gray Television, Inc.* | 1,115,965 | ||||||||
68,450 | Starz Class A* | 2,355,364 | ||||||||
|
| |||||||||
5,751,749 | ||||||||||
|
| |||||||||
Mining — 0.5% | ||||||||||
62,550 | Materion Corp. | 2,403,797 | ||||||||
|
| |||||||||
Miscellaneous - Manufacturing — 3.7% | ||||||||||
35,223 | AptarGroup, Inc. | 2,237,365 | ||||||||
91,397 | Brink’s Co. (The) | 2,525,299 | ||||||||
79,585 | ITT Corp. | 3,176,237 | ||||||||
37,888 | Myers Industries, Inc. | 664,177 | ||||||||
686,847 | Orkla ASA, Sponsored ADR | 5,171,958 | ||||||||
88,900 | Trinity Industries, Inc. | 3,156,839 | ||||||||
|
| |||||||||
16,931,875 | ||||||||||
|
| |||||||||
Office & Business Equipment — 0.5% | ||||||||||
46,575 | Avery Dennison Corp. | 2,464,283 | ||||||||
|
| |||||||||
Oil & Gas — 2.2% | ||||||||||
179,300 | Abraxas Petroleum Corp.* | 582,725 | ||||||||
138,236 | Evolution Petroleum Corp. | 822,504 | ||||||||
262,270 | Gran Tierra Energy, Inc.* | 715,997 | ||||||||
54,985 | Newfield Exploration Co.* | 1,929,424 | ||||||||
73,950 | PBF Energy, Inc. Class A | 2,508,384 | ||||||||
309,110 | Precision Drilling Corp. | 1,959,757 | ||||||||
46,740 | QEP Resources, Inc. | 974,529 | ||||||||
50,959 | WPX Energy, Inc.* | 556,982 | ||||||||
|
| |||||||||
10,050,302 | ||||||||||
|
| |||||||||
Packaging & Containers — 0.7% | ||||||||||
25,370 | Berry Plastics Group, Inc.* | 918,140 | ||||||||
13,775 | Crown Holdings, Inc.* | 744,126 | ||||||||
22,040 | Rock-Tenn Co. Class A | 1,421,580 | ||||||||
|
| |||||||||
3,083,846 | ||||||||||
|
| |||||||||
Pharmaceuticals — 1.4% | ||||||||||
6,935 | Jazz Pharmaceuticals Plc* | 1,198,299 |
See accompanying Notes to the Financial Statements. | 57 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Pharmaceuticals — continued | ||||||||||
23,910 | Lannett Co., Inc.* | 1,618,946 | ||||||||
14,675 | Quintiles Transnational Holdings, Inc.* | 982,785 | ||||||||
45,780 | VCA, Inc.* | 2,509,659 | ||||||||
|
| |||||||||
6,309,689 | ||||||||||
|
| |||||||||
Pipelines — 0.2% | ||||||||||
13,726 | National Fuel Gas Co. | 828,090 | ||||||||
|
| |||||||||
Real Estate — 2.7% | ||||||||||
123,000 | CBRE Group, Inc.* | 4,761,330 | ||||||||
77,726 | Forest City Enterprises, Inc. Class A* | 1,983,567 | ||||||||
256,183 | Forestar Group, Inc.* | 4,040,006 | ||||||||
69,922 | Hilltop Holdings, Inc.* | 1,359,284 | ||||||||
|
| |||||||||
12,144,187 | ||||||||||
|
| |||||||||
REITS — 4.7% | ||||||||||
154,850 | BioMed Realty Trust, Inc. REIT | 3,508,901 | ||||||||
225,941 | Brandywine Realty Trust REIT | 3,610,537 | ||||||||
73,000 | CBL & Associates Properties, Inc. REIT | 1,445,400 | ||||||||
98,534 | DuPont Fabros Technology, Inc. REIT | 3,220,091 | ||||||||
20,819 | Geo Group (The), Inc. REIT | 910,623 | ||||||||
93,810 | Liberty Property Trust REIT | 3,349,017 | ||||||||
77,050 | Physicians Realty Trust REIT | 1,356,851 | ||||||||
132,840 | Ramco-Gershenson Properties Trust REIT | 2,470,824 | ||||||||
104,347 | Sunstone Hotel Investors, Inc. REIT | 1,739,464 | ||||||||
|
| |||||||||
21,611,708 | ||||||||||
|
| |||||||||
Retail — 3.5% | ||||||||||
203,992 | American Eagle Outfitters, Inc. | 3,484,183 | ||||||||
7,254 | Biglari Holdings, Inc.* | 3,003,881 | ||||||||
109,065 | Bloomin’ Brands, Inc. | 2,653,552 | ||||||||
18,323 | Children’s Place (The), Inc. | 1,176,153 | ||||||||
36,145 | Foot Locker, Inc. | 2,277,135 | ||||||||
52,613 | Francesca’s Holdings Corp.* | 936,511 | ||||||||
17,350 | Group 1 Automotive, Inc. | 1,497,826 | ||||||||
33,807 | Stage Stores, Inc. | 774,857 | ||||||||
|
| |||||||||
15,804,098 | ||||||||||
|
| |||||||||
Savings & Loans — 0.3% | ||||||||||
15,420 | BofI Holding, Inc.* | 1,434,677 | ||||||||
|
| |||||||||
Semiconductors — 5.6% | ||||||||||
93,350 | Integrated Device Technology, Inc.* | 1,868,867 | ||||||||
680,060 | Lattice Semiconductor Corp.* | 4,311,580 | ||||||||
40,715 | Marvell Technology Group, Ltd. | 598,511 | ||||||||
150,592 | Microsemi Corp.* | 5,330,957 | ||||||||
10,924 | MKS Instruments, Inc. | 369,340 | ||||||||
195,855 | Rambus, Inc.* | 2,462,877 | ||||||||
135,745 | Rovi Corp.* | 2,471,916 |
58 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Semiconductors — continued | ||||||||||
30,975 | Skyworks Solutions, Inc. | 3,044,533 | ||||||||
262,620 | Teradyne, Inc. | 4,950,387 | ||||||||
|
| |||||||||
25,408,968 | ||||||||||
|
| |||||||||
Software — 3.0% | ||||||||||
144,538 | CSG Systems International, Inc. | 4,392,510 | ||||||||
51,305 | Electronic Arts, Inc.* | 3,017,504 | ||||||||
388,325 | Mitel Networks Corp.* ‡ | 3,949,265 | ||||||||
38,525 | PTC, Inc.* | 1,393,449 | ||||||||
32,580 | VeriFone Systems, Inc.* | 1,136,716 | ||||||||
|
| |||||||||
13,889,444 | ||||||||||
|
| |||||||||
Telecommunications — 3.0% | ||||||||||
22,980 | Amdocs, Ltd. | 1,250,112 | ||||||||
51,875 | ARRIS Group, Inc.* | 1,498,928 | ||||||||
21,800 | Atlantic Tele-Network, Inc. | 1,508,996 | ||||||||
100,025 | Frontier Communications Corp.‡ | 705,176 | ||||||||
87,610 | JDS Uniphase Corp.* | 1,149,443 | ||||||||
49,066 | Knowles Corp.* ‡ | 945,502 | ||||||||
31,705 | Level 3 Communications, Inc.* | 1,706,997 | ||||||||
92,244 | NeuStar, Inc. Class A* ‡ | 2,271,048 | ||||||||
36,954 | NTELOS Holdings Corp.‡ | 177,379 | ||||||||
102,161 | Telephone & Data Systems, Inc. | 2,543,809 | ||||||||
|
| |||||||||
13,757,390 | ||||||||||
|
| |||||||||
Textiles — 0.9% | ||||||||||
36,241 | UniFirst Corp. | 4,265,203 | ||||||||
|
| |||||||||
Transportation — 3.3% | ||||||||||
181,301 | Air Transport Services Group, Inc.* | 1,671,595 | ||||||||
60,175 | Con-way, Inc. | 2,655,523 | ||||||||
16,332 | Forward Air Corp. | 886,827 | ||||||||
2,750 | GasLog, Ltd.‡ | 53,405 | ||||||||
240,729 | Marten Transport, Ltd. | 5,584,913 | ||||||||
258,150 | Tsakos Energy Navigation, Ltd. | 2,111,667 | ||||||||
119,219 | UTi Worldwide, Inc.* | 1,466,394 | ||||||||
15,210 | Werner Enterprises, Inc. | 477,746 | ||||||||
|
| |||||||||
14,908,070 | ||||||||||
|
| |||||||||
Trucking & Leasing — 0.7% | ||||||||||
52,170 | GATX Corp. | 3,024,817 | ||||||||
|
| |||||||||
Water — 0.6% | ||||||||||
160,449 | PICO Holdings, Inc.* | 2,600,878 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $394,750,773) | 429,608,328 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 59 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 10.2% | ||||||||||
Bank Deposit — 5.8% | ||||||||||
26,395,858 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 26,395,858 | ||||||||
|
| |||||||||
Securities Lending Collateral — 4.4% | ||||||||||
20,091,525 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 20,091,525 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $46,487,383) | 46,487,383 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.3% (Cost $441,238,156) | 476,095,711 | |||||||||
Other Assets and Liabilities (net) — (4.3)% | (19,749,870 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 456,345,841 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
*** | Represents an investment of securities lending cash collateral. |
60 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
51 | Russell 2000 Mini Index | June 2015 | $ | 6,369,390 | $ | 63,448 | ||||||||||||
87 | S&P Mid 400 E-mini Index | June 2015 | 13,222,260 | 170,917 | ||||||||||||||
|
| |||||||||||||||||
$ | 234,365 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 61 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Common Stocks | 94.1 | ||||
Futures Contracts | 0.1 | ||||
Short-Term Investments | 10.2 | ||||
Other Assets and Liabilities (net) | (4.4 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
62 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 92.6% | ||||||||||
Australia — 2.2% | ||||||||||
294,129 | BGP Holdings Plc¤ **** | — | ||||||||
124,312 | BHP Billiton, Ltd. | 2,946,862 | ||||||||
1,444,192 | Brambles, Ltd. | 12,709,908 | ||||||||
336,516 | Computershare, Ltd. | 3,270,076 | ||||||||
19,695 | CSL, Ltd. | 1,386,037 | ||||||||
863,041 | Downer EDI, Ltd. | 2,947,162 | ||||||||
104,890 | Genworth Mortgage Insurance Australia, Ltd. | 264,431 | ||||||||
2,662,575 | Metcash, Ltd.‡ | 3,152,815 | ||||||||
568,822 | Mineral Resources, Ltd.‡ | 2,933,224 | ||||||||
386,966 | Monadelphous Group, Ltd.‡ | 2,953,271 | ||||||||
98,795 | National Australia Bank, Ltd. | 2,909,540 | ||||||||
1,094,627 | Sigma Pharmaceuticals, Ltd. | 744,254 | ||||||||
96,033 | Sirtex Medical, Ltd. | 1,525,980 | ||||||||
280,795 | Suncorp Group, Ltd. | 2,895,931 | ||||||||
107,911 | Woodside Petroleum, Ltd. | 2,845,781 | ||||||||
127,478 | Woolworths, Ltd.‡ | 2,871,938 | ||||||||
|
| |||||||||
Total Australia | 46,357,210 | |||||||||
|
| |||||||||
Austria — 0.5% | ||||||||||
61,580 | ams AG | 2,957,590 | ||||||||
16,190 | ANDRITZ AG | 968,167 | ||||||||
51,132 | CA Immobilien Anlagen AG* | 958,829 | ||||||||
108,855 | OMV AG | 2,988,225 | ||||||||
78,664 | Voestalpine AG | 2,880,520 | ||||||||
11,180 | Zumtobel Group AG | 277,429 | ||||||||
|
| |||||||||
Total Austria | 11,030,760 | |||||||||
|
| |||||||||
Belgium — 0.6% | ||||||||||
6,799 | Barco NV | 404,684 | ||||||||
147,175 | Belgacom SA | 5,148,997 | ||||||||
49,618 | bpost SA | 1,391,128 | ||||||||
66,009 | Colruyt SA | 2,874,028 | ||||||||
21,757 | Delhaize Group SA, Sponsored ADR | 486,704 | ||||||||
4,052 | Melexis NV | 241,528 | ||||||||
25,818 | Mobistar SA* | 560,393 | ||||||||
6,304 | Solvay SA | 910,970 | ||||||||
|
| |||||||||
Total Belgium | 12,018,432 | |||||||||
|
| |||||||||
Bermuda — 0.7% | ||||||||||
2,206,433 | Esprit Holdings, Ltd. | 2,242,562 | ||||||||
246,000 | Great Eagle Holdings, Ltd. | 864,628 | ||||||||
182,652 | Hiscox, Ltd. | 2,307,468 | ||||||||
369,822 | Hongkong Land Holdings, Ltd. | 2,792,156 | ||||||||
1,001,000 | Luk Fook Holdings International, Ltd. | 2,788,786 | ||||||||
726,500 | Yue Yuen Industrial Holdings, Ltd. | 2,581,574 | ||||||||
|
| |||||||||
Total Bermuda | 13,577,174 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 63 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Brazil — 0.3% | ||||||||||
170,555 | Banco do Brasil SA | 1,222,557 | ||||||||
328,900 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1,363,513 | ||||||||
211,840 | Ez Tec Empreendimentos e Participacoes SA | 1,337,546 | ||||||||
117,800 | Porto Seguro SA | 1,317,653 | ||||||||
|
| |||||||||
Total Brazil | 5,241,269 | |||||||||
|
| |||||||||
Canada — 0.5% | ||||||||||
50,756 | Boardwalk Real Estate Investment Trust REIT | 2,362,469 | ||||||||
16,085 | Fairfax Financial Holdings, Ltd. | 9,017,252 | ||||||||
|
| |||||||||
Total Canada | 11,379,721 | |||||||||
|
| |||||||||
Cayman Islands — 1.2% | ||||||||||
35,520 | Baidu, Inc., Sponsored ADR* | 7,402,368 | ||||||||
128,848 | Phoenix Group Holdings | 1,556,022 | ||||||||
661,550 | Tencent Holdings, Ltd. | 12,568,772 | ||||||||
6,690,000 | Truly International Holdings, Ltd. | 3,115,019 | ||||||||
|
| |||||||||
Total Cayman Islands | 24,642,181 | |||||||||
|
| |||||||||
China — 0.4% | ||||||||||
2,166,000 | Bank of China, Ltd. Class H | 1,248,802 | ||||||||
1,602,000 | China CITIC Bank Corp., Ltd. Class H | 1,204,643 | ||||||||
1,504,048 | China Petroleum & Chemical Corp. Class H | 1,196,945 | ||||||||
490,000 | China Shenhua Energy Co., Ltd. Class H | 1,250,115 | ||||||||
1,074,000 | Huaneng Power International, Inc. Class H | 1,268,899 | ||||||||
711,000 | Jiangxi Copper Co., Ltd. Class H | 1,318,730 | ||||||||
1,124,272 | PetroChina Co., Ltd. Class H | 1,242,738 | ||||||||
|
| |||||||||
Total China | 8,730,872 | |||||||||
|
| |||||||||
Denmark — 2.0% | ||||||||||
1,321 | AP Moeller - Maersk AS Class B‡ | 2,761,262 | ||||||||
24,412 | Christian Hansen Holding AS | 1,120,229 | ||||||||
18,350 | D/S Norden AS‡ | 391,745 | ||||||||
335,585 | GN Store Nord AS‡ | 7,487,463 | ||||||||
29,440 | Jyske Bank AS* | 1,239,646 | ||||||||
16,874 | NKT Holding AS‡ | 1,079,247 | ||||||||
17,630 | Novo Nordisk AS Class B | 942,835 | ||||||||
63,301 | Novo Nordisk AS, Sponsored ADR | 3,379,640 | ||||||||
35,874 | Novozymes AS Class B | 1,640,013 | ||||||||
163,667 | Pandora AS‡ | 14,905,556 | ||||||||
42,429 | Sydbank AS | 1,330,328 | ||||||||
455,099 | TDC AS‡ | 3,258,184 | ||||||||
33,359 | Topdanmark AS* | 998,948 | ||||||||
4,948 | Tryg AS | 583,645 | ||||||||
|
| |||||||||
Total Denmark | 41,118,741 | |||||||||
|
| |||||||||
Finland — 1.8% | ||||||||||
98,897 | Fortum OYJ‡ | 2,077,572 | ||||||||
18,545 | Kemira OYJ | 229,846 |
64 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Finland — continued | ||||||||||
86,678 | Kone OYJ‡ | 3,842,844 | ||||||||
22,647 | Konecranes OYJ‡ | 715,092 | ||||||||
91,084 | Metsa Board OYJ‡ | 559,554 | ||||||||
16,200 | Metso OYJ‡ | 472,725 | ||||||||
77,346 | Neste Oil OYJ‡ | 2,026,898 | ||||||||
683,219 | Nokia OYJ | 5,217,154 | ||||||||
717,572 | Nokia OYJ, Sponsored ADR | 5,439,196 | ||||||||
171,405 | Outokumpu OYJ* | 1,363,178 | ||||||||
56,977 | Sponda OYJ | 244,161 | ||||||||
466,250 | Stora Enso OYJ‡ | 4,802,215 | ||||||||
133,395 | Tieto OYJ | 3,137,530 | ||||||||
316,439 | UPM-Kymmene OYJ | 6,158,179 | ||||||||
31,683 | Wartsila OYJ Abp‡ | 1,402,615 | ||||||||
|
| |||||||||
Total Finland | 37,688,759 | |||||||||
|
| |||||||||
France — 8.7% | ||||||||||
315,464 | Accor SA | 16,459,304 | ||||||||
141,506 | Airbus Group NV | 9,185,514 | ||||||||
609,557 | Alcatel-Lucent* | 2,304,417 | ||||||||
309,689 | Alcatel-Lucent, Sponsored ADR* | 1,155,140 | ||||||||
63,721 | Alten SA | 2,923,258 | ||||||||
39,848 | AtoS | 2,750,546 | ||||||||
111,876 | AXA SA | 2,818,230 | ||||||||
47,132 | Cap Gemini SA | 3,865,830 | ||||||||
40,716 | Cie de Saint-Gobain | 1,788,296 | ||||||||
73,210 | Cie Generale des Etablissements Michelin | 7,281,694 | ||||||||
201,684 | CNP Assurances | 3,532,885 | ||||||||
264,272 | Danone SA | 17,773,312 | ||||||||
47,117 | Dassault Systemes SA | 3,195,114 | ||||||||
63,762 | Edenred | 1,589,772 | ||||||||
26,479 | Eiffage SA | 1,574,921 | ||||||||
14,829 | Euler Hermes Group | 1,578,300 | ||||||||
34,478 | Faurecia | 1,507,095 | ||||||||
49,717 | Groupe Eurotunnel SE | 712,303 | ||||||||
9,996 | Ipsen SA | 472,424 | ||||||||
23,206 | Lafarge SA | 1,504,117 | ||||||||
16,841 | Lagardere SCA | 505,357 | ||||||||
111,261 | Legrand SA | 6,015,342 | ||||||||
23,386 | LVMH Moet Hennessy Louis Vuitton SE | 4,122,883 | ||||||||
2,375 | Montupet | 169,625 | ||||||||
72,434 | Neopost SA‡ | 3,979,168 | ||||||||
21,962 | Nexans SA* | 740,166 | ||||||||
539,971 | Orange SA | 8,678,632 | ||||||||
103,621 | Orange SA, Sponsored ADR | 1,658,972 | ||||||||
84,393 | Pernod-Ricard SA | 9,983,781 | ||||||||
199,247 | Peugeot SA* | 3,336,123 | ||||||||
21,772 | Publicis Groupe SA | 1,679,610 | ||||||||
88,665 | Renault SA | 8,072,323 | ||||||||
121,949 | Rexel SA | 2,300,544 |
See accompanying Notes to the Financial Statements. | 65 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
France — continued | ||||||||||
47,503 | Safran SA | 3,316,183 | ||||||||
74,357 | Sanofi, ADR | 3,676,210 | ||||||||
51,361 | Schneider Electric SE | 3,990,949 | ||||||||
32,268 | Societe Television Francaise 1 | 571,821 | ||||||||
176,954 | Technicolor* | 1,141,431 | ||||||||
42,967 | Technip SA | 2,601,281 | ||||||||
277,196 | Total SA | 13,776,457 | ||||||||
114,138 | UBISOFT Entertainment* | 2,109,061 | ||||||||
90,230 | Valeo SA | 13,474,917 | ||||||||
|
| |||||||||
Total France | 179,873,308 | |||||||||
|
| |||||||||
Germany — 9.0% | ||||||||||
49,136 | Aurubis AG | 2,784,781 | ||||||||
132,659 | BASF SE | 13,186,128 | ||||||||
166,073 | Bayer AG | 24,961,810 | ||||||||
72,619 | Bayerische Motoren Werke AG | 9,082,259 | ||||||||
6,948 | Bechtle AG | 496,681 | ||||||||
26,365 | Beiersdorf AG‡ | 2,290,764 | ||||||||
74,145 | Brenntag AG | 4,440,264 | ||||||||
46,168 | Continental AG | 10,923,447 | ||||||||
174,460 | DaimlerChrysler AG‡ | 16,812,708 | ||||||||
176,606 | Deutsche Annington Immobilien SE | 5,955,774 | ||||||||
37,233 | Deutsche Boerse AG | 3,041,505 | ||||||||
153,475 | Deutsche Post AG | 4,795,790 | ||||||||
160,895 | Deutsche Telekom AG | 2,946,260 | ||||||||
242,398 | Deutsche Wohnen AG | 6,206,395 | ||||||||
116,064 | Deutz AG | 488,639 | ||||||||
79,947 | DIC Asset AG | 799,986 | ||||||||
14,890 | DMG MORI SEIKI AG | 489,351 | ||||||||
6,839 | Drillisch AG | 268,279 | ||||||||
35,500 | ElringKlinger AG | 1,067,174 | ||||||||
76,823 | Evonik Industries AG | 2,739,261 | ||||||||
109,890 | Fresenius Medical Care AG & Co. KGaA | 9,141,970 | ||||||||
86,968 | HeidelbergCement AG | 6,894,120 | ||||||||
5,871 | HUGO BOSS AG | 714,092 | ||||||||
649,208 | Infineon Technologies AG | 7,760,383 | ||||||||
69,100 | Jenoptik AG | 934,717 | ||||||||
73,619 | K+S AG | 2,404,421 | ||||||||
72,307 | Kloeckner & Co. SE* | 693,561 | ||||||||
15,896 | KUKA AG‡ | 1,224,425 | ||||||||
38,719 | LEG Immobilien AG* | 3,071,824 | ||||||||
12,812 | Linde AG | 2,609,600 | ||||||||
4,403 | Manz AG* | 378,211 | ||||||||
26,781 | Merck KGaA | 3,007,149 | ||||||||
29,011 | MTU Aero Engines AG | 2,845,331 | ||||||||
25,303 | OSRAM Licht AG | 1,258,222 | ||||||||
62,150 | ProSiebenSat.1 Media AG | 3,050,767 | ||||||||
86,613 | SAP SE | 6,281,798 | ||||||||
123,335 | Software AG | 3,212,197 |
66 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
110,172 | Symrise AG | 6,962,225 | ||||||||
148,112 | TAG Immobilien AG‡ | 2,044,078 | ||||||||
36,708 | United Internet AG | 1,671,791 | ||||||||
6,974 | Volkswagen AG | 1,797,992 | ||||||||
7,017 | Wacker Chemie AG‡ | 812,032 | ||||||||
59,439 | Wincor Nixdorf AG | 2,792,251 | ||||||||
19,819 | Wirecard AG | 837,801 | ||||||||
|
| |||||||||
Total Germany | 186,178,214 | |||||||||
|
| |||||||||
Hong Kong — 0.4% | ||||||||||
506,000 | Henderson Land Development Co., Ltd. | 3,550,396 | ||||||||
158,000 | HKT Trust & HKT, Ltd. | 203,791 | ||||||||
5,855,178 | PCCW, Ltd. | 3,572,142 | ||||||||
263,000 | Wharf Holdings, Ltd. (The) | 1,833,491 | ||||||||
|
| |||||||||
Total Hong Kong | 9,159,820 | |||||||||
|
| |||||||||
India — 0.7% | ||||||||||
1,346,650 | ICICI Bank, Ltd. | 6,774,001 | ||||||||
190,621 | Tata Consultancy Services, Ltd. | 7,797,699 | ||||||||
|
| |||||||||
Total India | 14,571,700 | |||||||||
|
| |||||||||
Indonesia — 0.6% | ||||||||||
7,302,900 | Bank Mandiri Persero Tbk PT | 6,967,777 | ||||||||
3,006,100 | Perusahaan Gas Negara Persero Tbk PT | 1,103,578 | ||||||||
8,472,300 | Perusahaan Perkebunan London Sumatra Indonesia Tbk PT | 1,121,000 | ||||||||
5,344,100 | Telekomunikasi Indonesia Persero Tbk PT | 1,181,220 | ||||||||
753,296 | United Tractors Tbk PT | 1,255,973 | ||||||||
|
| |||||||||
Total Indonesia | 11,629,548 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
46,898 | Accenture Plc Class A | 4,393,874 | ||||||||
17,961 | CRH Plc, Sponsored ADR | 470,399 | ||||||||
5,362,963 | Governor & Co. of the Bank of Ireland (The)* | 2,038,976 | ||||||||
|
| |||||||||
Total Ireland | 6,903,249 | |||||||||
|
| |||||||||
Isle of Man — 0.0% | ||||||||||
32,703 | Playtech Plc | 377,701 | ||||||||
|
| |||||||||
Italy — 1.6% | ||||||||||
12,685 | Danieli & C. Officine Meccaniche Spa-RSP | 210,622 | ||||||||
625,828 | Enel Spa | 2,831,050 | ||||||||
157,695 | ENI Spa | 2,731,847 | ||||||||
21,134 | Exor Spa | 959,894 | ||||||||
4,046,000 | Intesa Sanpaolo Spa | 13,757,545 | ||||||||
32,908 | Luxottica Group Spa | 2,088,782 | ||||||||
173,873 | Mediobanca Spa | 1,668,518 | ||||||||
145,213 | Pirelli & C. Spa | 2,411,122 | ||||||||
658,133 | Salini Impregilo Spa* | 2,835,820 |
See accompanying Notes to the Financial Statements. | 67 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Italy — continued | ||||||||||
26,667 | Salvatore Ferragamo Spa | 854,055 | ||||||||
767,780 | Telecom Italia Spa-RNC | 721,521 | ||||||||
241,640 | UniCredit Spa | 1,642,770 | ||||||||
|
| |||||||||
Total Italy | 32,713,546 | |||||||||
|
| |||||||||
Japan — 20.4% | ||||||||||
196,000 | 77 Bank, Ltd. (The) | 1,111,361 | ||||||||
39,000 | Air Water, Inc. | 698,537 | ||||||||
8,500 | Alpine Electronics, Inc. | 141,968 | ||||||||
28,000 | Alps Electric Co., Ltd. | 677,790 | ||||||||
103,000 | Amada Co., Ltd. | 993,713 | ||||||||
17,800 | Amano Corp. | 213,288 | ||||||||
275,000 | Asahi Glass Co., Ltd. | 1,806,963 | ||||||||
130,000 | Asahi Kasei Corp.‡ | 1,245,528 | ||||||||
307,500 | Astellas Pharma, Inc. | 5,044,872 | ||||||||
14,500 | Azbil Corp. | 394,163 | ||||||||
122,000 | Bank of Yokohama, Ltd. (The) | 716,181 | ||||||||
75,500 | Bridgestone Corp. | 3,031,962 | ||||||||
70,500 | Brother Industries, Ltd.‡ | 1,124,590 | ||||||||
126,000 | Calsonic Kansei Corp. | 837,373 | ||||||||
106,200 | Canon Marketing Japan, Inc. | 2,135,069 | ||||||||
14,725 | Canon, Inc., Sponsored ADR | 520,823 | ||||||||
166,700 | Canon, Inc. | 5,904,871 | ||||||||
203,000 | Central Glass Co., Ltd. | 959,775 | ||||||||
25,300 | Central Japan Railway Co. | 4,587,438 | ||||||||
234,294 | Chiba Bank, Ltd. (The) | 1,723,138 | ||||||||
15,100 | Chugai Pharmaceutical Co., Ltd. | 476,577 | ||||||||
110,800 | Citizen Holdings Co., Ltd.‡ | 851,846 | ||||||||
174,300 | COMSYS Holdings Corp. | 2,158,311 | ||||||||
395,300 | Dai-ichi Life Insurance Co., Ltd. (The) | 5,753,564 | ||||||||
67,000 | Daicel Corp. | 800,592 | ||||||||
130,800 | Daiichi Sanyko Co., Ltd.‡ | 2,079,930 | ||||||||
139,560 | Daikin Industries, Ltd. | 9,363,350 | ||||||||
311,246 | Daiwa Securities Group, Inc. | 2,455,190 | ||||||||
48,400 | East Japan Railway Co.‡ | 3,890,565 | ||||||||
218,000 | Fuji Electric Holdings Co., Ltd. | 1,030,694 | ||||||||
434,900 | Fuji Heavy Industries, Ltd. | 14,473,095 | ||||||||
151,900 | Fuji Media Holdings, Inc. | 2,158,329 | ||||||||
232,400 | FUJIFILM Holdings Corp. | 8,287,335 | ||||||||
197,000 | Fujikura, Ltd. | 865,699 | ||||||||
310,000 | Fujitsu, Ltd. | 2,117,332 | ||||||||
65,497 | Glory, Ltd. | 1,829,601 | ||||||||
230,294 | Hachijuni Bank, Ltd. (The) | 1,628,429 | ||||||||
249,000 | Hankyu Hanshin Holdings, Inc. | 1,542,689 | ||||||||
15,300 | Heiwa Corp. | 300,961 | ||||||||
170,000 | Hino Motors, Ltd.‡ | 2,431,103 | ||||||||
38,850 | Hirose Electric Co., Ltd.‡ | 5,034,221 | ||||||||
32,900 | Hitachi Chemical Co., Ltd. | 705,598 | ||||||||
61,800 | Hitachi Construction Machinery Co., Ltd.‡ | 1,083,207 |
68 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
31,300 | Hitachi High-Technologies Corp. | 956,552 | ||||||||
59,500 | Hitachi Koki Co., Ltd. | 485,724 | ||||||||
471,000 | Hitachi, Ltd. | 3,233,081 | ||||||||
10,200 | Hoshizaki Electric Co., Ltd. | 665,966 | ||||||||
59,100 | Hoya Corp. | 2,374,103 | ||||||||
91,900 | Ibiden Co., Ltd. | 1,553,315 | ||||||||
234,900 | Inpex Holdings, Inc. | 2,596,289 | ||||||||
48,700 | Ito En, Ltd.‡ | 1,052,172 | ||||||||
63,200 | Japan Airlines Co., Ltd. | 1,970,965 | ||||||||
283,300 | Japan Tobacco, Inc. | 8,977,958 | ||||||||
44,700 | JFE Holdings, Inc. | 989,233 | ||||||||
331,714 | Joyo Bank, Ltd. (The) | 1,709,395 | ||||||||
50,300 | JSR Corp. | 873,670 | ||||||||
44,600 | JTEKT Corp. | 697,683 | ||||||||
298,108 | Kao Corp. | 14,914,722 | ||||||||
630,000 | Kawasaki Kisen Kaisha, Ltd.‡ | 1,696,811 | ||||||||
646,500 | KDDI Corp. | 14,665,860 | ||||||||
31,600 | Keyence Corp. | 17,285,470 | ||||||||
81,300 | Kiyo Bank, Ltd. (The) | 1,135,522 | ||||||||
52,000 | Kobayashi Pharmaceutical Co., Ltd. | 3,728,997 | ||||||||
1,100,000 | Kobe Steel, Ltd. | 2,036,273 | ||||||||
104,800 | Komatsu, Ltd. | 2,064,540 | ||||||||
300,000 | Konica Minolta Holdings, Inc. | 3,054,409 | ||||||||
52,186 | Kose Corp. | 2,885,080 | ||||||||
699,000 | Kubota Corp. | 11,091,907 | ||||||||
13,400 | Kurita Water Industries, Ltd. | 324,595 | ||||||||
72,800 | Kyocera Corp. | 4,001,648 | ||||||||
202,300 | Kyowa Exeo Corp.‡ | 2,174,398 | ||||||||
83,300 | Lintec Corp. | 1,987,948 | ||||||||
219,000 | Meidensha Corp. | 708,543 | ||||||||
67 | MID Reit, Inc. REIT | 162,465 | ||||||||
46,000 | Minebea Co., Ltd. | 728,022 | ||||||||
1,067,300 | Mitsubishi Chemical Holdings Corp. | 6,217,351 | ||||||||
165,500 | Mitsubishi Co.‡ | 3,340,361 | ||||||||
630,000 | Mitsubishi Electric Corp. | 7,504,315 | ||||||||
289,000 | Mitsubishi Heavy Industries, Ltd. | 1,596,037 | ||||||||
133,000 | Mitsubishi Materials Corp. | 448,047 | ||||||||
326,900 | Mitsubishi UFJ Financial Group, Inc. | 2,027,230 | ||||||||
203,900 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 1,011,636 | ||||||||
42,500 | Mitsui & Co., Ltd. | 571,274 | ||||||||
183,000 | Mitsui Mining & Smelting Co., Ltd. | 418,111 | ||||||||
1,145,100 | Mizuho Financial Group, Inc.‡ | 2,015,682 | ||||||||
106,800 | MS&AD Insurance Group Holdings | 3,001,176 | ||||||||
16,500 | Murata Manufacturing Co., Ltd. | 2,274,984 | ||||||||
51,000 | �� | Nachi-Fujikoshi Corp. | 279,825 | |||||||
281,000 | NEC Corp. | 827,125 | ||||||||
73,300 | Nidec Corp. | 4,881,777 | ||||||||
120,800 | Nihon Kohden Corp. | 3,298,895 | ||||||||
91,000 | Nippon Electric Glass Co., Ltd. | 445,420 | ||||||||
254,000 | Nippon Express Co., Ltd. | 1,423,290 |
See accompanying Notes to the Financial Statements. | 69 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
424,000 | Nippon Steel & Sumitomo Metal Corp. | 1,069,502 | ||||||||
33,800 | Nippon Telegraph & Telephone Corp. | 2,084,791 | ||||||||
109,600 | Nippon Television Network Corp. | 1,828,723 | ||||||||
43,100 | Nissan Chemical Industries, Ltd. | 894,525 | ||||||||
79,000 | Nisshinbo Holdings, Inc. | 759,533 | ||||||||
47,200 | Nitto Denko Corp. | 3,160,442 | ||||||||
233,341 | Nomura Research Institute, Ltd. | 8,794,674 | ||||||||
771,641 | North Pacific Bank, Ltd. | 2,921,201 | ||||||||
103,000 | NSK, Ltd. | 1,509,894 | ||||||||
29,200 | NTT Data Corp. | 1,273,429 | ||||||||
80,600 | Obic Co., Ltd. | 3,427,642 | ||||||||
82,000 | Ogaki Kyoritsu Bank, Ltd. (The) | 259,829 | ||||||||
65,600 | Omron Corp. | 2,964,786 | ||||||||
678,000 | Orix Corp. | 9,545,991 | ||||||||
68,200 | Otsuka Holdings Co., Ltd. | 2,137,985 | ||||||||
37,000 | PanaHome Corp. | 256,694 | ||||||||
165,600 | Panasonic Corp.‡ | 2,177,621 | ||||||||
139,400 | Pioneer Corp.* | 254,564 | ||||||||
284,400 | Ricoh Co., Ltd. | 3,101,899 | ||||||||
55,100 | Rohm Co., Ltd. | 3,781,305 | ||||||||
91,000 | San-In Godo Bank, Ltd. (The) | 751,978 | ||||||||
39,334 | Sankyo Co., Ltd. | 1,402,150 | ||||||||
331,165 | Santen Pharmaceutical Co., Ltd. | 4,832,510 | ||||||||
77,000 | Sanwa Holdings Corp. | 572,725 | ||||||||
34,400 | Seiko Epson Corp.‡ | 611,269 | ||||||||
149,300 | Sekisui House, Ltd. | 2,173,051 | ||||||||
153,000 | Shiga Bank, Ltd. (The)‡ | 765,478 | ||||||||
35,700 | Shin-Etsu Chemical Co., Ltd. | 2,336,836 | ||||||||
62,000 | Showa Corp. | 627,626 | ||||||||
641,000 | Showa Denko KK | 817,786 | ||||||||
2,500 | SMC Corp. | 747,238 | ||||||||
88,131 | Sony Corp., Sponsored ADR* | 2,360,148 | ||||||||
77,300 | Sony Corp.* | 2,056,177 | ||||||||
210,200 | Sony Financial Holdings, Inc. | 3,386,336 | ||||||||
139,000 | Sumitomo Chemical Co., Ltd. | 716,298 | ||||||||
166,200 | Sumitomo Corp.‡ | 1,781,531 | ||||||||
77,100 | Sumitomo Dainippon Pharma Co., Ltd.‡ | 915,492 | ||||||||
92,700 | Sumitomo Electric Industries, Ltd. | 1,217,448 | ||||||||
65,500 | Sumitomo Forestry Co., Ltd. | 717,127 | ||||||||
186,000 | Sumitomo Heavy Industries, Ltd. | 1,220,613 | ||||||||
164,341 | Sumitomo Mitsui Financial Group‡ | 6,305,734 | ||||||||
35,400 | Suruga Bank, Ltd. | 736,485 | ||||||||
33,990 | Suzuken Co., Ltd. | 1,038,761 | ||||||||
244,700 | Suzuki Motor Corp. | 7,371,097 | ||||||||
20,000 | Sysmex Corp. | 1,112,362 | ||||||||
373,100 | T&D Holdings, Inc. | 5,147,333 | ||||||||
18,000 | Tadano, Ltd. | 242,552 | ||||||||
11,900 | Takeda Pharmaceutical Co., Ltd.‡ | 595,273 | ||||||||
40,300 | TDK Corp. | 2,869,810 | ||||||||
163,000 | Terumo Corp. | 4,308,610 |
70 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
196,000 | Tobu Railway Co., Ltd. | 931,582 | ||||||||
22,200 | Tokai Rika Co., Ltd. | 516,288 | ||||||||
192,800 | Tokio Marine Holdings, Inc. | 7,296,417 | ||||||||
37,700 | Tokyo Ohka Kogyo Co., Ltd. | 1,221,301 | ||||||||
262,000 | Tokyu Corp. | 1,625,416 | ||||||||
367,000 | Toshiba Corp. | 1,542,976 | ||||||||
385,000 | Toshiba TEC Corp. | 2,552,220 | ||||||||
425,000 | Tosoh Corp. | 2,147,592 | ||||||||
255,000 | Toyo Ink SC Holdings Co., Ltd. | 1,197,123 | ||||||||
21,600 | Toyo Seikan Group Holdings, Ltd. | 317,358 | ||||||||
81,000 | Toyo Suisan Kaisha, Ltd. | 2,857,036 | ||||||||
62,400 | Toyota Industries Corp. | 3,579,837 | ||||||||
29,900 | Toyota Motor Corp. | 2,090,070 | ||||||||
62,400 | Toyota Tsusho Corp. | 1,657,236 | ||||||||
91,500 | TS Tech Co., Ltd. | 2,475,860 | ||||||||
92,000 | Tsubakimoto Chain Co. | 767,913 | ||||||||
242,770 | USS Co., Ltd. | 4,206,596 | ||||||||
7,400 | West Japan Railway Co. | 388,928 | ||||||||
73,000 | Yamaguchi Financial Group, Inc.‡ | 841,851 | ||||||||
95,900 | Yamaha Corp. | 1,682,498 | ||||||||
409,162 | Yamato Holdings Co., Ltd. | 9,457,553 | ||||||||
61,800 | Yokogawa Electric Corp. | 667,342 | ||||||||
195,000 | Yokohama Rubber Co., Ltd. (The) | 2,016,260 | ||||||||
|
| |||||||||
Total Japan | 423,533,590 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
154,889 | ArcelorMittal | 1,459,728 | ||||||||
33,256 | ArcelorMittal, ADR | 313,271 | ||||||||
33,224 | SES SA, ADR | 1,174,670 | ||||||||
322,025 | Subsea 7 SA‡ | 2,771,083 | ||||||||
|
| |||||||||
Total Luxembourg | 5,718,752 | |||||||||
|
| |||||||||
Malaysia — 0.1% | ||||||||||
1,074,800 | Genting Malaysia Bhd | 1,227,597 | ||||||||
298,800 | Tenaga Nasional Bhd | 1,158,571 | ||||||||
|
| |||||||||
Total Malaysia | 2,386,168 | |||||||||
|
| |||||||||
Malta — 0.1% | ||||||||||
26,735 | Unibet Group Plc, ADR | 1,464,774 | ||||||||
|
| |||||||||
Mexico — 0.5% | ||||||||||
1,011,900 | America Movil SAB de CV Series L | 1,036,858 | ||||||||
893,630 | Cemex SAB de CV, Sponsored ADR* | 8,462,676 | ||||||||
|
| |||||||||
Total Mexico | 9,499,534 | |||||||||
|
| |||||||||
Netherlands — 5.7% | ||||||||||
91,948 | Aalberts Industries NV | 2,890,475 | ||||||||
522,477 | Aegon NV | 4,123,819 | ||||||||
107,528 | Aegon NV, ADR | 852,697 |
See accompanying Notes to the Financial Statements. | 71 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Netherlands — continued | ||||||||||
157,622 | Akzo Nobel NV | 11,921,118 | ||||||||
60,831 | ASM International NV | 2,812,563 | ||||||||
159,528 | ASML Holding NV | 16,240,657 | ||||||||
29,434 | ASML Holding NV, ADR | 2,973,717 | ||||||||
53,244 | BinckBank NV | 433,398 | ||||||||
16,854 | Eurocommercial Properties NV REIT | 772,106 | ||||||||
600,041 | Fiat Chrysler Automobiles NV* | 9,763,324 | ||||||||
17,435 | Heineken Holding NV | 1,200,284 | ||||||||
148,937 | Heineken NV | 11,361,837 | ||||||||
1,338,236 | ING Groep NV, ADR* | 19,611,481 | ||||||||
149,507 | Koninklijke Ahold NV | 2,946,468 | ||||||||
10,923 | Koninklijke DSM NV | 609,676 | ||||||||
126,230 | NXP Semiconductors NV* | 12,668,443 | ||||||||
19,858 | Randstad Holding NV | 1,204,576 | ||||||||
142,357 | STMicroelectronics NV | 1,328,626 | ||||||||
390,553 | STMicroelectronics NV (Euronext Exchange) | 3,647,570 | ||||||||
152,018 | STMicroelectronics NV, ADR | 1,409,207 | ||||||||
98,617 | TomTom NV* | 756,866 | ||||||||
79,334 | Unilever NV | 3,315,740 | ||||||||
100,144 | Unilever NV, ADR | 4,182,014 | ||||||||
10,964 | Vastned Retail NV REIT | 536,896 | ||||||||
75 | Wereldhave NV, REIT | 5,034 | ||||||||
11,109 | Wolters Kluwer NV | 362,704 | ||||||||
|
| |||||||||
Total Netherlands | 117,931,296 | |||||||||
|
| |||||||||
New Zealand — 0.3% | ||||||||||
935,185 | Air New Zealand, Ltd. | 1,911,030 | ||||||||
249,787 | Fisher & Paykel Healthcare Corp., Ltd. | 1,232,534 | ||||||||
1,730,222 | Spark New Zealand, Ltd. | 3,866,531 | ||||||||
|
| |||||||||
Total New Zealand | 7,010,095 | |||||||||
|
| |||||||||
Norway — 1.7% | ||||||||||
428,960 | DnB NOR ASA | 6,903,514 | ||||||||
348,161 | Fred Olsen Energy ASA‡ | 2,492,696 | ||||||||
15,366 | Leroy Seafood Group ASA | 448,066 | ||||||||
336,582 | Marine Harvest ASA | 3,865,278 | ||||||||
409,665 | Norsk Hydro ASA | 2,154,794 | ||||||||
157,623 | Orkla ASA | 1,192,084 | ||||||||
51,048 | Salmar ASA | 734,768 | ||||||||
91,036 | SpareBank 1 SMN‡ | 672,115 | ||||||||
285,810 | Statoil ASA | 5,064,296 | ||||||||
725,341 | Storebrand ASA* | 2,640,680 | ||||||||
123,567 | TGS Nopec Geophysical Co. ASA | 2,741,470 | ||||||||
112,961 | Yara International ASA | 5,746,797 | ||||||||
|
| |||||||||
Total Norway | 34,656,558 | |||||||||
|
| |||||||||
Portugal — 0.2% | ||||||||||
63,753 | Altri SGPS SA | 271,760 | ||||||||
782,528 | Banco Espirito Santo SA* ¤ **** | 100,852 |
72 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Portugal — continued | ||||||||||
700,163 | EDP - Energias de Portugal SA | 2,620,632 | ||||||||
62,901 | Portucel SA | 281,640 | ||||||||
|
| |||||||||
Total Portugal | 3,274,884 | |||||||||
|
| |||||||||
Singapore — 0.6% | ||||||||||
176,300 | United Overseas Bank, Ltd. | 2,956,113 | ||||||||
533,644 | UOL Group, Ltd. | 2,972,253 | ||||||||
466,000 | Venture Corp., Ltd. | 2,904,644 | ||||||||
3,245,543 | Yangzijiang Shipbuilding Holdings, Ltd. | 2,993,083 | ||||||||
|
| |||||||||
Total Singapore | 11,826,093 | |||||||||
|
| |||||||||
South Africa — 0.2% | ||||||||||
82,280 | Kumba Iron Ore, Ltd.‡ | 1,059,377 | ||||||||
99,275 | Liberty Holdings, Ltd. | 1,375,286 | ||||||||
36,145 | Sasol, Ltd. | 1,229,579 | ||||||||
|
| |||||||||
Total South Africa | 3,664,242 | |||||||||
|
| |||||||||
South Korea — 0.5% | ||||||||||
46,134 | GS Retail Co., Ltd. | 1,388,864 | ||||||||
46,697 | Hana Financial Group, Inc. | 1,210,094 | ||||||||
7,707 | Hyundai Motor Co. | 1,170,517 | ||||||||
28,556 | Kia Motors Corp. | 1,163,397 | ||||||||
26,883 | Korea Electric Power Corp. | 1,114,623 | ||||||||
45,896 | KT Corp.* | 1,199,679 | ||||||||
6,542 | Lotte Chemical Corp. | 1,199,961 | ||||||||
5,126 | POSCO | 1,129,665 | ||||||||
924 | Samsung Electronics Co., Ltd. | 1,200,130 | ||||||||
|
| |||||||||
Total South Korea | 10,776,930 | |||||||||
|
| |||||||||
Spain — 2.4% | ||||||||||
44,850 | Abertis Infraestructuras SA | 810,923 | ||||||||
60,164 | Acerinox SA | 1,009,627 | ||||||||
60,972 | ACS Actividades de Construccion y Servicios SA | 2,160,969 | ||||||||
285,552 | Amadeus IT Holding SA Class A | 12,255,043 | ||||||||
3,499,490 | Bankia SA* | 4,878,469 | ||||||||
8,332 | Construcciones y Auxiliar de Ferrocarriles SA | 2,769,133 | ||||||||
145,762 | Endesa SA | 2,817,870 | ||||||||
11,860 | Gamesa Corp. Tecnologica SA* | 149,858 | ||||||||
169,063 | Gas Natural SDG SA | 3,797,612 | ||||||||
26,221 | Grifols SA, ADR | 860,311 | ||||||||
434,720 | Iberdrola SA | 2,802,269 | ||||||||
165,055 | Inditex SA | 5,296,798 | ||||||||
29,098 | Indra Sistemas SA‡ | 341,576 | ||||||||
20,191 | Let’s GOWEX SA* ¤ **** | — | ||||||||
828,567 | Mapfre SA | 3,024,704 | ||||||||
65,657 | Obrascon Huarte Lain SA‡ | 1,398,677 | ||||||||
155,611 | Repsol VPF SA | 2,897,132 | ||||||||
195,173 | Telefonica SA | 2,779,505 | ||||||||
|
| |||||||||
Total Spain | 50,050,476 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 73 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Sweden — 3.7% | ||||||||||
156,543 | Alfa Laval AB | 3,076,749 | ||||||||
59,400 | Assa Abloy AB Series B | 3,540,286 | ||||||||
176,011 | Atlas Copco AB Class A | 5,700,323 | ||||||||
104,357 | Atlas Copco AB Class B | 3,084,467 | ||||||||
86,338 | Boliden AB | 1,715,938 | ||||||||
20,917 | Castellum AB | 316,033 | ||||||||
180,021 | Electrolux AB Class B‡ | 5,160,127 | ||||||||
33,621 | Hemfosa Fastigheter AB* | 768,008 | ||||||||
151,125 | Hennes & Mauritz AB Class B | 6,124,522 | ||||||||
86,919 | Holmen AB Class B | 2,932,895 | ||||||||
76,171 | Hufvudstaden AB Class A‡ | 1,044,872 | ||||||||
82,404 | Industrivarden AB Class C | 1,546,977 | ||||||||
16,401 | Investor AB Class A | 642,229 | ||||||||
32,771 | JM AB | 1,091,347 | ||||||||
21,201 | L E Lundbergforetagen AB Class B | 969,085 | ||||||||
143,522 | Ratos AB Class B | 983,546 | ||||||||
136,884 | Sandvik AB | 1,530,889 | ||||||||
687,100 | Skandinaviska Enskilda Banken AB‡ | 8,038,960 | ||||||||
27,190 | Skanska AB Class B | 609,754 | ||||||||
47,672 | SSAB AB Class A* ‡ | 234,600 | ||||||||
9,037 | Swedish Match AB | 265,743 | ||||||||
47,659 | Telefonaktiebolaget LM Ericsson Class B, Sponsored ADR | 598,120 | ||||||||
1,661,932 | Telefonaktiebolaget LM Ericsson Class B | 20,889,655 | ||||||||
468,737 | TeliaSonera AB | 2,978,506 | ||||||||
50,126 | Trelleborg AB Class B | 991,587 | ||||||||
98,812 | Volvo AB Class B‡ | 1,195,041 | ||||||||
14,032 | Wihlborgs Fastigheter AB | 270,908 | ||||||||
|
| |||||||||
Total Sweden | 76,301,167 | |||||||||
|
| |||||||||
Switzerland — 7.4% | ||||||||||
10,507 | Actelion, Ltd.* | 1,218,046 | ||||||||
167,572 | Adecco SA* | 13,974,397 | ||||||||
12,028 | Ascom Holding AG | 207,422 | ||||||||
22,262 | Baloise-Holding AG | 2,949,778 | ||||||||
12,059 | Bucher Industries AG | 2,912,634 | ||||||||
30,805 | Cie Financiere Richemont SA | 2,483,302 | ||||||||
92,693 | Clariant AG* | 1,855,196 | ||||||||
2,880 | Forbo Holding AG* | 3,436,549 | ||||||||
40,846 | GAM Holding AG* | 849,469 | ||||||||
10,716 | Geberit AG | 4,026,912 | ||||||||
4,146 | Georg Fischer AG | 2,838,557 | ||||||||
10,573 | Givaudan SA* | 19,180,095 | ||||||||
5,815 | Helvetia Holding AG | 3,134,101 | ||||||||
41,034 | Holcim, Ltd.* | 3,069,206 | ||||||||
40,250 | Julius Baer Group, Ltd.* | 2,020,581 | ||||||||
37,689 | Kudelski SA | 463,692 | ||||||||
76,289 | Logitech International SA | 1,009,280 | ||||||||
269,418 | Nestle SA | 20,359,602 | ||||||||
9,400 | Novartis AG, Sponsored ADR | 926,934 |
74 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Switzerland — continued | ||||||||||
221,757 | Novartis AG | 21,951,957 | ||||||||
2,051 | Partners Group Holding AG | 613,421 | ||||||||
4,075 | Rieter Holding AG* | 647,771 | ||||||||
73,233 | Roche Holding AG | 20,213,906 | ||||||||
10,505 | Schindler Holding AG | 1,749,932 | ||||||||
1,111 | SGS SA | 2,127,520 | ||||||||
304 | Sika AG | 1,088,866 | ||||||||
18,448 | Swiss Life Holding* | 4,567,841 | ||||||||
8,213 | Syngenta AG | 2,796,293 | ||||||||
68,320 | Temenos Group AG* | 2,356,347 | ||||||||
2,607 | U-Blox AG* | 456,285 | ||||||||
21,988 | Zurich Insurance Group AG* | 7,454,595 | ||||||||
|
| |||||||||
Total Switzerland | 152,940,487 | |||||||||
|
| |||||||||
Taiwan — 0.7% | ||||||||||
638,615 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 14,994,680 | ||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
1,694,900 | Krung Thai Bank PCL | 1,187,576 | ||||||||
725,300 | PTT Global Chemical PCL | 1,164,626 | ||||||||
|
| |||||||||
Total Thailand | 2,352,202 | |||||||||
|
| |||||||||
United Kingdom — 14.6% | ||||||||||
593,526 | Aberdeen Asset Management Plc | 4,049,490 | ||||||||
208,554 | Amlin Plc | 1,565,021 | ||||||||
46,460 | ARM Holdings Plc, Sponsored ADR | 2,290,478 | ||||||||
708,369 | Ashtead Group Plc | 11,399,068 | ||||||||
193,377 | Associated British Foods Plc | 8,089,586 | ||||||||
38,633 | AstraZeneca Plc | 2,653,332 | ||||||||
368,807 | Beazley Plc | 1,575,141 | ||||||||
43,526 | Berendsen Plc | 721,743 | ||||||||
156,315 | Berkeley Group Holdings Plc | 6,123,794 | ||||||||
666,910 | BP Plc | 4,323,455 | ||||||||
150,777 | British American Tobacco Plc | 7,808,261 | ||||||||
21,729 | British American Tobacco Plc, Sponsored ADR | 2,254,818 | ||||||||
412,795 | BT Group Plc | 2,684,040 | ||||||||
164,344 | BTG Plc* | 1,744,377 | ||||||||
336,737 | Bunzl Plc | 9,152,921 | ||||||||
436,248 | Cairn Energy Plc* | 1,017,396 | ||||||||
41,330 | Carnival Plc, ADR | 2,024,757 | ||||||||
188,810 | Carnival Plc | 9,238,314 | ||||||||
1,209,945 | Centrica Plc | 4,544,297 | ||||||||
1,359,231 | Cobham Plc | 6,138,086 | ||||||||
785,385 | Compass Group Plc | 13,664,405 | ||||||||
17,833 | Compass Group Plc, Sponsored ADR | 310,294 | ||||||||
68,639 | Dialog Semiconductor Plc* | 3,100,959 | ||||||||
782,674 | DS Smith Plc | 4,010,811 | ||||||||
544,709 | Evraz Plc | 1,517,782 | ||||||||
610,980 | Friends Life Group, Ltd. | 3,751,354 |
See accompanying Notes to the Financial Statements. | 75 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
809,458 | GKN Plc | 4,309,086 | ||||||||
431,886 | GlaxoSmithKline Plc | 9,911,951 | ||||||||
95,292 | Greene King Plc‡ | 1,182,615 | ||||||||
370,479 | Halma Plc | 3,841,586 | ||||||||
631,676 | HSBC Holdings Plc | 5,382,534 | ||||||||
535,881 | ICAP Plc | 4,192,369 | ||||||||
263,342 | IG Group Holdings Plc | 2,771,704 | ||||||||
39,952 | InterContinental Hotels Group Plc | 1,562,193 | ||||||||
128,835 | Intermediate Capital Group Plc | 962,972 | ||||||||
17,009 | Intertek Group Plc | 630,742 | ||||||||
618,751 | ITV Plc | 2,322,979 | ||||||||
145,756 | Jardine Lloyd Thompson Group Plc | 2,265,446 | ||||||||
1,096,956 | Man Group Plc | 3,318,745 | ||||||||
517,618 | Meggitt Plc | 4,214,699 | ||||||||
255,373 | Micro Focus International Plc | 4,477,189 | ||||||||
215,997 | Mondi Plc | 4,162,008 | ||||||||
42,150 | Pearson Plc, Sponsored ADR | 910,861 | ||||||||
31,896 | Prudential Plc, ADR | 1,590,972 | ||||||||
718,032 | QinetiQ Group Plc | 2,034,840 | ||||||||
318,936 | Reckitt Benckiser Group Plc | 27,460,728 | ||||||||
8,391 | Reed Elsevier Plc, Sponsored ADR | 577,972 | ||||||||
31,775 | Royal Bank of Scotland Group Plc, Sponsored ADR* | 320,610 | ||||||||
465,062 | Royal Bank of Scotland Group Plc* | 2,347,309 | ||||||||
96,749 | Royal Dutch Shell Plc Class A (Amsterdam Exchange) | 2,892,290 | ||||||||
116,012 | Royal Dutch Shell Plc Class A (London Exchange) | 3,458,176 | ||||||||
257,333 | Shire Plc | 20,494,896 | ||||||||
24,695 | Shire Plc, ADR | 5,909,267 | ||||||||
8,300 | Smith & Nephew Plc, Sponsored ADR | 283,611 | ||||||||
74,556 | Spectris Plc | 2,390,655 | ||||||||
717,334 | St James’s Place Plc | 9,951,332 | ||||||||
176,200 | Standard Chartered Plc | 2,899,906 | ||||||||
182,803 | SVG Capital Plc* | 1,371,782 | ||||||||
1,813,946 | Taylor Wimpey Plc | 4,171,155 | ||||||||
99,228 | Unilever Plc, Sponsored ADR | 4,138,800 | ||||||||
55,336 | United Business Media, Ltd. | 434,554 | ||||||||
251,831 | Vedanta Resources Plc‡ | 1,869,217 | ||||||||
2,694,434 | Vodafone Group Plc | 8,817,758 | ||||||||
157,775 | Weir Group Plc (The) | 3,984,034 | ||||||||
152,688 | Whitbread Plc | 11,888,605 | ||||||||
439,510 | WPP Plc | 9,989,056 | ||||||||
16,448 | WPP Plc, Sponsored ADR | 1,871,289 | ||||||||
|
| |||||||||
Total United Kingdom | 303,322,473 | |||||||||
|
| |||||||||
United States — 1.6% | ||||||||||
49,654 | Altera Corp. | 2,130,653 | ||||||||
147,127 | Analog Devices, Inc. | 9,269,001 | ||||||||
207,927 | Colgate-Palmolive Co. | 14,417,658 | ||||||||
24,948 | Sigma-Aldrich Corp. | 3,449,061 | ||||||||
51,617 | Texas Instruments, Inc. | 2,951,718 |
76 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
42,735 | Xilinx, Inc. | 1,807,691 | ||||||||
|
| |||||||||
Total United States | 34,025,782 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $1,766,351,944) | 1,918,922,388 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.0% | ||||||||||
United States — 1.0% | ||||||||||
301,414 | iShares MSCI EAFE Index Fund | 19,341,736 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $18,506,731) | 19,341,736 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.2% | ||||||||||
Brazil — 0.1% | ||||||||||
311,100 | Cia Energetica de Minas Gerais, 23.68% | 1,247,865 | ||||||||
74,900 | Telefonica Brasil SA, 9.80% | 1,159,555 | ||||||||
|
| |||||||||
Total Brazil | 2,407,420 | |||||||||
|
| |||||||||
Germany — 1.1% | ||||||||||
11,957 | Bayerische Motoren Werke AG, 3.12% | 1,107,093 | ||||||||
100,987 | Henkel AG & Co. KGaA, 1.09% | 11,881,793 | ||||||||
28,649 | Porsche Automobil Holding SE, 2.20% | 2,814,442 | ||||||||
26,867 | Volkswagen AG, 1.67% | 7,151,748 | ||||||||
|
| |||||||||
Total Germany | 22,955,076 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $20,715,033) | 25,362,496 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Spain — 0.0% | ||||||||||
195,173 | Telefonica SA, Strike Price EUR 10.84, Expires 04/10/15* | 31,442 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 31,442 | |||||||||
|
| |||||||||
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Call Options — 0.0% | ||||||||||
4,781,405 | OTC Euro versus Japanese Yen with Deutsche Bank Securities, Strike Price $0.01, Expires 09/18/15 | 1,602 | ||||||||
3,191,417 | OTC Euro versus Japanese Yen with JP Morgan Securities, Inc., Strike Price $0.01, Expires 07/03/15 | — | ||||||||
9,336,730 | OTC Euro versus Japanese Yen with UBS AG, Strike Price $0.01, Expires 04/24/15 | — | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED (COST $346,100) | 1,602 | |||||||||
|
| |||||||||
Put Options — 0.0% | ||||||||||
1,181,029,408 | OTC Japanese Yen versus U.S. Dollar with UBS AG, Strike Price $116.50, Expires 07/03/15 | 363,778 | ||||||||
|
| |||||||||
TOTAL PUT OPTIONS PURCHASED (COST $97,068) | 363,778 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $443,168) | 365,380 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 77 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 10.6% | ||||||||||
Bank Deposit — 5.2% | ||||||||||
107,789,751 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 107,789,751 | ||||||||
|
| |||||||||
Securities Lending Collateral — 5.4% | ||||||||||
112,388,673 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 112,388,673 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $220,178,424) | 220,178,424 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 105.4% (Cost $2,026,195,300) | 2,184,201,866 | |||||||||
Other Assets and Liabilities (net) — (5.4)% | (111,220,590 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 2,072,981,276 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
¤ | Illiquid security. The total market value of the securities at year end is $100,852 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $1,457,972. | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $100,852 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $1,457,972. |
78 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
843 | MSCI EAFE E-mini Index | June 2015 | $ | 77,130,285 | $ | 151,385 | ||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 79 |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Chemicals | 6.2 | ||||
Pharmaceuticals | 5.9 | ||||
Insurance | 5.8 | ||||
Telecommunications | 5.4 | ||||
Banks | 4.8 | ||||
Semiconductors | 4.5 | ||||
Auto Manufacturers | 4.2 | ||||
Food | 4.0 | ||||
Commercial Services | 2.8 | ||||
Auto Parts & Equipment | 2.7 | ||||
Retail | 2.7 | ||||
Electronics | 2.4 | ||||
Building Materials | 2.3 | ||||
Oil & Gas | 2.2 | ||||
Computers | 2.0 | ||||
Software | 2.0 | ||||
Household Products & Wares | 1.9 | ||||
Real Estate | 1.9 | ||||
Transportation | 1.9 | ||||
Diversified Financial Services | 1.8 | ||||
Machinery — Diversified | 1.8 | ||||
Cosmetics & Personal Care | 1.6 | ||||
Electrical Components & Equipment | 1.5 | ||||
Beverages | 1.3 | ||||
Miscellaneous — Manufacturing | 1.3 | ||||
Aerospace & Defense | 1.2 | ||||
Engineering & Construction | 1.1 | ||||
Internet | 1.1 | ||||
Agriculture | 1.0 | ||||
Forest Products & Paper | 1.0 | ||||
Lodging | 1.0 | ||||
Unaffiliated Fund | 1.0 | ||||
Electric | 0.8 | ||||
Iron & Steel | 0.8 | ||||
Machinery — Construction & Mining | 0.8 | ||||
Advertising | 0.7 | ||||
Food Service | 0.7 | ||||
Home Furnishings | 0.7 | ||||
Distribution & Wholesale | 0.6 | ||||
Health Care — Products | 0.6 | ||||
Home Builders | 0.6 | ||||
Leisure Time | 0.6 | ||||
Gas | 0.5 | ||||
Health Care — Services | 0.5 | ||||
Holding Companies — Diversified | 0.5 | ||||
Media | 0.5 | ||||
Metal Fabricate & Hardware | 0.5 | ||||
Mining | 0.5 | ||||
Office & Business Equipment | 0.5 | ||||
Hand & Machine Tools | 0.4 | ||||
Oil & Gas Services | 0.4 |
80 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Airlines | 0.2 | ||||
Apparel | 0.2 | ||||
Entertainment | 0.2 | ||||
Investment Companies | 0.2 | ||||
Shipbuilding | 0.2 | ||||
Biotechnology | 0.1 | ||||
Coal | 0.1 | ||||
REITS | 0.1 | ||||
Environmental Control | 0.0 | ||||
Packaging & Containers | 0.0 | ||||
Textiles | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 5.2 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 81 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 97.9% | ||||||||||
Asset Backed Securities — 11.6% | ||||||||||
750,000 | A Voce CLO, Ltd., Series 2014-1A, Class A1A, 1.70%, due 07/15/26† 144A | 745,616 | ||||||||
1,700,000 | AIMCO CLO, Series 2014-AA, Class A, 1.80%, due 07/20/26† 144A | 1,699,777 | ||||||||
1,000,000 | AIMCO CLO, Series 2014-AA, Class B1, 2.26%, due 07/20/26† 144A | 997,676 | ||||||||
1,500,000 | AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A | 1,553,186 | ||||||||
1,470,000 | Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.84%, due 01/15/20 | 1,486,377 | ||||||||
2,803,000 | Ally Auto Receivables Trust, Series 2014-SN2, Class A3, 1.03%, due 09/20/17 | 2,806,215 | ||||||||
250,000 | ALM XI, Ltd., Series 2014-11A, Class A2A, 2.23%, due 10/17/26† 144A | 250,315 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2013-1, Class B, 0.87%, due 02/16/21† | 1,006,260 | ||||||||
1,800,000 | American Express Credit Account Master Trust, Series 2014-2, Class A, 1.26%, due 01/15/20 | 1,805,945 | ||||||||
1,000,000 | American Express Credit Account Master Trust, Series 2014-4, Class A, 1.43%, due 06/15/20 | 1,005,486 | ||||||||
877,846 | Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 0.93%, due 09/25/33† | 848,800 | ||||||||
249,616 | Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 0.86%, due 04/25/34† | 246,522 | ||||||||
1,000,000 | Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class A2A, 2.51%, due 04/28/26† 144A | 999,587 | ||||||||
750,000 | Anchorage Capital CLO 5, Ltd., Series 2014-5A, Class A, 1.85%, due 10/15/26† 144A | 750,633 | ||||||||
439,792 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.15%, due 12/15/33† | 423,890 | ||||||||
1,700,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.50%, due 07/20/21 144A | 1,714,819 | ||||||||
250,000 | Battalion CLO VIII, Ltd., Series 2015-8A, Class A1, 1.79%, due 04/18/27† †††† 144A | 249,623 | ||||||||
4,564 | Bayview Financial Acquisition Trust, Series 2004-C, Class A1, 0.81%, due 05/28/44† | 4,571 | ||||||||
84,897 | Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 0.74%, due 09/25/34† | 83,679 | ||||||||
7,300,000 | BMW Vehicle Lease Trust, Series 2014-1, Class A4, 0.99%, due 08/21/17 | 7,309,362 | ||||||||
1,232,781 | BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24 | 1,386,385 | ||||||||
652,630 | Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24 | 750,059 | ||||||||
765,000 | Chase Issuance Trust, Series 2013-A5, Class A, 0.47%, due 05/15/17 | 765,063 | ||||||||
5,665,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.01%, due 10/15/18 | 5,678,021 | ||||||||
2,000,000 | Chase Issuance Trust, Series 2014-A7, Class A, 1.38%, due 11/15/19 | 2,008,742 | ||||||||
1,528,000 | Citibank Credit Card Issuance Trust, Series 2014-A2, Class A2, 1.02%, due 02/22/19 | 1,529,506 | ||||||||
712,034 | Colony American Homes, Series 2014-1A, Class A, 1.33%, due 05/17/31† 144A | 708,229 | ||||||||
3,152,026 | CVS Pass-Through Trust, 7.51%, due 01/10/32 144A | 4,101,907 | ||||||||
1,149,735 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24 | 1,349,559 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, due 11/15/25 144A | 1,019,559 | ||||||||
1,000,000 | Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.31%, due 04/15/26 144A | 1,019,822 | ||||||||
1,390,000 | Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.06%, due 05/15/19 | 1,393,174 | ||||||||
3,320,000 | Ford Credit Floorplan Master Owner Trust, Series 2013-5, Class A1, 1.50%, due 09/15/18 | 3,345,599 | ||||||||
250,000 | Highbridge Loan Management Ltd. CLO, Series 2015-6A, 1.00%, due 05/05/27† †††† 144A | 249,100 | ||||||||
361,330 | Home Equity Asset Trust, Series 2003-8, Class M1, 1.25%, due 04/25/34† | 343,681 | ||||||||
3,500,000 | HSBC Home Equity Loan Trust, Series 2006-3, Class M1, 0.44%, due 03/20/36† | 3,392,042 | ||||||||
250,000 | ICG US CLO, Ltd., Series 2014-3A, Class A1B, 3.32%, due 01/25/27 144A | 251,516 | ||||||||
3,450,000 | Invitation Homes Trust, Series 2014-SFR1, Class A, 1.18%, due 06/17/31† 144A | 3,418,777 |
82 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Asset Backed Securities — continued | ||||||||||
500,000 | KVK CLO, Ltd., Series 2014-2A, Class A, 1.80%, due 07/15/26† 144A | 497,928 | ||||||||
1,750,000 | Magnetite VIII CLO, Ltd., Series 2014-8A, Class A, 1.73%, due 04/15/26† 144A | 1,750,553 | ||||||||
250,000 | Magnetite XI CLO, Ltd., Series 2014-11A, Class A1, 1.69%, due 01/18/27† 144A | 250,350 | ||||||||
1,570,000 | MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A | 1,592,849 | ||||||||
307,426 | Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.19%, due 10/25/33† | 292,069 | ||||||||
368,501 | Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.37%, due 06/25/33† | 360,457 | ||||||||
222,175 | Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.22%, due 06/25/33† | 210,764 | ||||||||
380,698 | New Century Home Equity Loan Trust, Series 2003-A, Class A, 0.89%, due 10/25/33† 144A | 362,089 | ||||||||
750,000 | Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 1.76%, due 07/25/26† 144A | 750,406 | ||||||||
839,758 | Saxon Asset Securities Trust, Series 2005-1, Class M1, 0.86%, due 05/25/35† | 804,563 | ||||||||
500,000 | Seneca Park CLO, Ltd., Series 2014-1A, Class B2, 4.35%, due 07/17/26 144A | 510,990 | ||||||||
500,000 | Shackleton CLO, Ltd., Series 2014-6A, Class A1, 1.74%, due 07/17/26† 144A | 498,433 | ||||||||
1,047,851 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/30 144A | 1,057,176 | ||||||||
1,800,000 | SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, due 10/15/30 144A | 1,872,760 | ||||||||
318,135 | Small Business Administration Participation Certificates, Series 2008-20L, Class 1, 6.22%, due 12/01/28 | 366,609 | ||||||||
2,471,866 | Small Business Administration Participation Certificates, Series 2010-20D, Class 1, 4.36%, due 04/01/30 | 2,725,476 | ||||||||
1,611,232 | Small Business Administration Participation Certificates, Series 2010-20G, Class 1, 3.80%, due 07/01/30 | 1,728,016 | ||||||||
2,082,840 | Small Business Administration Participation Certificates, Series 2010-20I, Class 1, 3.21%, due 09/01/30 | 2,172,385 | ||||||||
1,866,280 | Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31 | 1,996,466 | ||||||||
3,440,852 | Small Business Administration Participation Certificates, Series 2012-20C, Class 1, 2.51%, due 03/01/32 | 3,473,694 | ||||||||
3,355,956 | Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33 | 3,514,497 | ||||||||
4,623,367 | Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34 | 4,837,942 | ||||||||
4,314,348 | Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34 | 4,482,438 | ||||||||
2,950,020 | Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34 | 3,045,295 | ||||||||
860,000 | Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, due 11/15/24 144A | 870,919 | ||||||||
500,000 | THL Credit Wind River CLO, Ltd., Series 2014-3A, Class A, 1.86%, due 01/22/27† 144A | 500,343 | ||||||||
500,000 | Treman Park CLO LLC, Series 2015-1A, Class A, 1.76%, due 04/20/27† †††† 144A | 500,000 | ||||||||
56,985 | UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18 | 63,254 | ||||||||
1,750,000 | Voya CLO, Ltd., Series 2012-2AR, Class AR, 1.57%, due 10/15/22† †††† 144A | 1,750,000 | ||||||||
1,300,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class A1, 1.76%, due 04/20/26† 144A | 1,296,408 | ||||||||
500,000 | Washington Mill CLO, Ltd., Series 2014-1A, Class B2, 4.25%, due 04/20/26 144A | 508,617 | ||||||||
|
| |||||||||
103,342,826 | ||||||||||
|
| |||||||||
Corporate Debt — 37.5% | ||||||||||
1,600,000 | 21st Century Fox America, Inc., 6.15%, due 02/15/41 | 2,076,088 | ||||||||
20,000 | 21st Century Fox America, Inc., 6.75%, due 01/09/38 | 26,912 |
See accompanying Notes to the Financial Statements. | 83 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,050,000 | Actavis Funding SCS, 3.00%, due 03/12/20 | 1,075,448 | ||||||||
1,025,000 | Actavis Funding SCS, 3.80%, due 03/15/25 | 1,059,972 | ||||||||
605,000 | Actavis Funding SCS, 4.55%, due 03/15/35 | 632,653 | ||||||||
180,000 | Activision Blizzard, Inc., 5.63%, due 09/15/21 144A | 192,150 | ||||||||
280,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 3.75%, due 05/15/19 144A | 282,013 | ||||||||
680,000 | AES Corp. (The), Senior Note, 8.00%, due 06/01/20 | 780,300 | ||||||||
750,000 | Aetna, Inc., 4.75%, due 03/15/44 | 881,435 | ||||||||
2,275,000 | AgriBank FCB, 9.13%, due 07/15/19 | 2,908,699 | ||||||||
315,000 | Agrium, Inc., 4.90%, due 06/01/43 | 338,278 | ||||||||
150,000 | Agrium, Inc., 5.25%, due 01/15/45 | 169,684 | ||||||||
1,040,000 | AIA Group, Ltd., 3.20%, due 03/11/25 144A | 1,051,326 | ||||||||
1,438,000 | Air Canada 2015-1 Class A Pass Through Trust, 3.60%, due 03/15/27 144A | 1,438,000 | ||||||||
2,596,000 | Alibaba Group Holding, Ltd., 3.60%, due 11/28/24 144A | 2,609,541 | ||||||||
425,000 | Altria Group, Inc., 2.85%, due 08/09/22 | 423,198 | ||||||||
150,000 | Altria Group, Inc., 9.95%, due 11/10/38 | 261,122 | ||||||||
1,170,000 | Ameren Illinois Co., 2.70%, due 09/01/22 | 1,188,548 | ||||||||
620,000 | America Movil SAB de CV, 5.00%, due 03/30/20 | 705,696 | ||||||||
150,000 | America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17 | 166,065 | ||||||||
3,938,110 | American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24 | 4,312,230 | ||||||||
205,000 | American Express Co., 5.20%† ††††† | 208,588 | ||||||||
300,000 | American International Group, Inc., 5.85%, due 01/16/18 | 335,359 | ||||||||
970,000 | American International Group, Inc., 6.40%, due 12/15/20 | 1,176,414 | ||||||||
680,000 | Amgen, Inc., 5.65%, due 06/15/42 | 836,444 | ||||||||
250,000 | Anadarko Finance Co., Senior Note, 7.50%, due 05/01/31 | 332,444 | ||||||||
220,000 | Anadarko Petroleum Corp., 6.38%, due 09/15/17 | 244,919 | ||||||||
8,000,000 | Anadarko Petroleum Corp., 6.83%, due 10/10/36‡‡ | 3,180,000 | ||||||||
290,000 | Anheuser-Busch InBev Worldwide, Inc., 2.50%, due 07/15/22 | 286,579 | ||||||||
340,000 | Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20 | 392,054 | ||||||||
1,280,000 | ANR Pipeline Co., 9.63%, due 11/01/21 | 1,734,112 | ||||||||
130,000 | Anthem, Inc., 1.25%, due 09/10/15 | 130,324 | ||||||||
425,000 | Anthem, Inc., 4.35%, due 08/15/20 | 469,692 | ||||||||
5,000 | Anthem, Inc., 5.10%, due 01/15/44 | 5,758 | ||||||||
730,000 | Anthem, Inc., 5.88%, due 06/15/17 | 798,946 | ||||||||
1,246,000 | Anthem, Inc., 7.00%, due 02/15/19 | 1,470,501 | ||||||||
160,000 | ArcelorMittal, 5.25%, due 02/25/17 | 166,800 | ||||||||
375,000 | Ashland, Inc., 3.00%, due 03/15/16 | 379,688 | ||||||||
150,000 | AT&T, Inc., 2.63%, due 12/01/22‡ | 146,335 | ||||||||
5,000,000 | AT&T, Inc., 3.63%, due 11/27/22‡‡ 144A | 3,898,525 | ||||||||
120,000 | AT&T, Inc., 3.88%, due 08/15/21 | 127,306 | ||||||||
10,000 | AT&T, Inc., 4.45%, due 05/15/21 | 10,969 | ||||||||
610,000 | AT&T, Inc., Global Note, 5.50%, due 02/01/18 | 671,957 | ||||||||
1,675,000 | AT&T, Inc., Global Note, 6.55%, due 02/15/39 | 2,063,000 | ||||||||
3,125,000 | BAC Capital Trust XI, 6.63%, due 05/23/36 | 3,868,169 | ||||||||
1,280,000 | BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A | 1,486,591 | ||||||||
600,000 | Bank of America Corp., 2.60%, due 01/15/19 | 611,004 | ||||||||
140,000 | Bank of America Corp., 3.88%, due 03/22/17 | 146,584 | ||||||||
500,000 | Bank of America Corp., 4.13%, due 01/22/24 | 536,013 | ||||||||
400,000 | Bank of America Corp., 4.20%, due 08/26/24 | 414,307 | ||||||||
290,000 | Bank of America Corp., 5.00%, due 05/13/21 | 327,782 |
84 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
420,000 | Bank of America Corp., 5.13%† ††††† | 414,708 | ||||||||
500,000 | Bank of America Corp., 5.63%, due 07/01/20 | 577,101 | ||||||||
555,000 | Bank of America Corp., 5.70%, due 01/24/22 | 649,860 | ||||||||
350,000 | Bank of America Corp., 7.63%, due 06/01/19 | 422,831 | ||||||||
410,000 | Bank of America Corp., Senior Note, 5.75%, due 12/01/17 | 451,424 | ||||||||
1,721,000 | Bank of America NA, 1.65%, due 03/26/18 | 1,726,039 | ||||||||
375,000 | Bank One Capital III, 8.75%, due 09/01/30 | 561,919 | ||||||||
775,000 | Barclays Bank Plc, 3.75%, due 05/15/24 | 816,944 | ||||||||
1,450,000 | Barclays Plc, 4.38%, due 09/11/24 | 1,468,853 | ||||||||
200,000 | Bayer US Finance LLC, 3.38%, due 10/08/24 144A | 208,448 | ||||||||
695,000 | Becton Dickinson and Co., 3.73%, due 12/15/24 | 728,836 | ||||||||
1,480,000 | Berkshire Hathaway Energy Co., 3.50%, due 02/01/25 | 1,544,439 | ||||||||
1,432,000 | Berkshire Hathaway Energy Co., 6.13%, due 04/01/36 | 1,872,704 | ||||||||
1,830,000 | Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A | 2,164,837 | ||||||||
2,125,000 | BNP Paribas SA, 4.25%, due 10/15/24‡ | 2,191,500 | ||||||||
415,000 | Boston Properties, LP REIT, 3.13%, due 09/01/23 | 418,902 | ||||||||
1,550,000 | Boston Properties, LP REIT, 4.13%, due 05/15/21 | 1,686,752 | ||||||||
2,735,000 | Boston Properties, LP REIT, 5.63%, due 11/15/20 | 3,185,085 | ||||||||
250,000 | Boston Properties, LP REIT, 5.88%, due 10/15/19 | 290,455 | ||||||||
850,000 | Boston Scientific Corp., 6.00%, due 01/15/20 | 979,390 | ||||||||
280,000 | Building Materials Corp. of America, 5.38%, due 11/15/24¤ 144A | 285,600 | ||||||||
1,100,000 | Burlington Northern Santa Fe LLC, 3.75%, due 04/01/24 | 1,176,178 | ||||||||
2,025,000 | Capital One Financial Corp., 3.50%, due 06/15/23 | 2,082,514 | ||||||||
625,000 | Capital One Financial Corp., 4.75%, due 07/15/21 | 701,732 | ||||||||
1,882,000 | Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A | 2,140,767 | ||||||||
915,000 | Carnival Corp., 1.88%, due 12/15/17 | 918,867 | ||||||||
500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19 | 521,250 | ||||||||
3,247,000 | CDP Financial, Inc., 3.15%, due 07/24/24 144A | 3,376,094 | ||||||||
925,000 | Cemex Finance LLC, 6.00%, due 04/01/24 144A | 925,000 | ||||||||
450,000 | Cemex SAB de CV, 6.13%, due 05/05/25 144A | 455,490 | ||||||||
675,000 | Cemex SAB de CV, 6.50%, due 12/10/19 144A | 718,875 | ||||||||
1,125,000 | Cemex SAB de CV, 7.25%, due 01/15/21 144A | 1,203,750 | ||||||||
430,000 | CGG, 6.50%, due 06/01/21 | 345,075 | ||||||||
525,000 | Cigna Corp., 4.00%, due 02/15/22 | 573,169 | ||||||||
800,000 | Cigna Corp., 5.38%, due 02/15/42 | 994,226 | ||||||||
1,100,000 | Cigna Corp., 6.15%, due 11/15/36 | 1,466,223 | ||||||||
325,000 | Cigna Corp., 7.88%, due 05/15/27 | 452,396 | ||||||||
170,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 174,675 | ||||||||
300,000 | Citigroup, Inc., 3.50%, due 05/15/23 | 299,484 | ||||||||
560,000 | Citigroup, Inc., 3.95%, due 06/15/16 | 579,147 | ||||||||
260,000 | Citigroup, Inc., 4.05%, due 07/30/22 | 273,192 | ||||||||
1,950,000 | Citigroup, Inc., 4.50%, due 01/14/22 | 2,156,162 | ||||||||
380,000 | Citigroup, Inc., 5.50%, due 09/13/25 | 431,560 | ||||||||
130,000 | Citigroup, Inc., 5.90%† ††††† | 131,625 | ||||||||
230,000 | Citigroup, Inc., 5.95%† ††††† | 233,163 | ||||||||
80,000 | Citigroup, Inc., 6.68%, due 09/13/43 | 107,069 | ||||||||
2,850,000 | Comcast Corp., 4.25%, due 01/15/33 | 3,066,879 | ||||||||
320,000 | Comcast Corp., 5.65%, due 06/15/35 | 398,597 | ||||||||
1,075,000 | Comcast Corp., 5.88%, due 02/15/18 | 1,211,930 |
See accompanying Notes to the Financial Statements. | 85 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
100,000 | Comcast Corp., 6.30%, due 11/15/17 | 112,990 | ||||||||
130,000 | Comcast Corp., 6.50%, due 01/15/17 | 142,633 | ||||||||
20,000 | Comcast Corp., 6.50%, due 11/15/35 | 27,271 | ||||||||
90,000 | Comcast Corp., 6.95%, due 08/15/37 | 128,256 | ||||||||
228,000 | Concho Resources, Inc., 6.50%, due 01/15/22 | 239,970 | ||||||||
300,000 | ConocoPhillips Holding Co., 6.95%, due 04/15/29 | 410,942 | ||||||||
1,546,000 | Consumers Energy Co., 3.38%, due 08/15/23 | 1,639,731 | ||||||||
1,155,836 | Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23 | 1,301,760 | ||||||||
210,000 | Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16 | 220,982 | ||||||||
1,950,000 | COX Communications, Inc., 3.25%, due 12/15/22 144A | 1,981,299 | ||||||||
1,175,000 | COX Communications, Inc., 3.85%, due 02/01/25 144A | 1,212,539 | ||||||||
650,000 | COX Communications, Inc., 5.88%, due 12/01/16 144A | 698,188 | ||||||||
875,000 | COX Communications, Inc., 9.38%, due 01/15/19 144A | 1,103,846 | ||||||||
500,000 | Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20 144A | 503,434 | ||||||||
550,000 | CSX Corp., 7.38%, due 02/01/19 | 661,196 | ||||||||
1,160,000 | CVS Health Corp., 2.75%, due 12/01/22 | 1,167,423 | ||||||||
200,000 | Dai-ichi Life Insurance Co., Ltd. (The), 5.10%† ††††† 144A | 218,859 | ||||||||
250,000 | Daimler Finance North America LLC, 1.30%, due 07/31/15 144A | 250,685 | ||||||||
900,000 | DCP Midstream LLC, 5.35%, due 03/15/20 144A | 879,657 | ||||||||
1,465,000 | Deutsche Telekom International Finance BV, 6.00%, due 07/08/19 | 1,707,185 | ||||||||
520,000 | Devon Energy Corp., 7.95%, due 04/15/32 | 717,023 | ||||||||
665,000 | Discover Financial Services, 3.75%, due 03/04/25 | 671,230 | ||||||||
350,000 | DISH DBS Corp., 7.13%, due 02/01/16 | 364,438 | ||||||||
400,000 | Dominion Resources, Inc., 4.45%, due 03/15/21 | 443,276 | ||||||||
1,325,000 | Dominion Resources, Inc., 5.75%, due 10/01/54† | 1,418,809 | ||||||||
400,000 | Dow Chemical Co. (The), 4.38%, due 11/15/42 | 402,946 | ||||||||
775,000 | Dow Chemical Co. (The), 7.38%, due 11/01/29 | 1,053,966 | ||||||||
1,585,000 | Dow Chemical Co. (The), 8.55%, due 05/15/19 | 1,986,225 | ||||||||
575,000 | Dow Chemical Co. (The), 9.40%, due 05/15/39 | 954,734 | ||||||||
2,589,000 | Duke Energy Corp., 3.55%, due 09/15/21 | 2,771,203 | ||||||||
240,000 | Eagle Spinco, Inc., 4.63%, due 02/15/21 | 238,200 | ||||||||
250,000 | Eaton Corp., 1.50%, due 11/02/17 | 251,108 | ||||||||
650,000 | Eaton Corp., 2.75%, due 11/02/22 | 652,462 | ||||||||
110,000 | Ecolab, Inc., 4.35%, due 12/08/21 | 121,387 | ||||||||
190,000 | El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32 | 244,882 | ||||||||
725,000 | Enel Finance International SA, 6.00%, due 10/07/39 144A | 883,192 | ||||||||
1,000,000 | Enel Finance International SA, Guaranteed Note, 6.80%, due 09/15/37 144A | 1,306,989 | ||||||||
1,128,000 | Energy Transfer Partners, LP, 4.05%, due 03/15/25 | 1,139,810 | ||||||||
1,102,000 | Ensco Plc, 4.70%, due 03/15/21 | 1,115,255 | ||||||||
460,000 | Enterprise Products Operating LLC, 3.75%, due 02/15/25 | 475,804 | ||||||||
1,934,000 | ERAC USA Finance LLC, 2.80%, due 11/01/18¤ 144A | 1,991,672 | ||||||||
1,350,000 | ERP Operating, LP, 3.00%, due 04/15/23 | 1,355,222 | ||||||||
825,000 | ERP Operating, LP, 4.63%, due 12/15/21 | 922,838 | ||||||||
2,045,000 | Escrow GCB General Motors, 8.38%, due 07/15/49¤ **** | — | ||||||||
912,000 | Exelon Generation Co. LLC, 4.25%, due 06/15/22 | 963,782 | ||||||||
250,000 | Export-Import Bank of Korea, 4.00%, due 01/11/17 | 262,102 | ||||||||
150,000 | FirstEnergy Corp., 2.75%, due 03/15/18 | 153,722 | ||||||||
245,000 | FirstEnergy Corp., Series C, 7.38%, due 11/15/31 | 311,940 | ||||||||
540,000 | Ford Motor Co., 4.75%, due 01/15/43 | 592,777 |
86 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
625,000 | Ford Motor Credit Co. LLC, 5.63%, due 09/15/15 | 638,144 | ||||||||
600,000 | Ford Motor Credit Co. LLC, 5.75%, due 02/01/21 | 698,029 | ||||||||
650,000 | Ford Motor Credit Co. LLC, 5.88%, due 08/02/21 | 766,212 | ||||||||
350,000 | Ford Motor Credit Co. LLC, 8.00%, due 12/15/16 | 388,044 | ||||||||
580,000 | Ford Motor Credit Co. LLC, 8.13%, due 01/15/20 | 725,454 | ||||||||
440,000 | Ford Motor Credit Co. LLC, 12.00%, due 05/15/15 | 445,434 | ||||||||
1,162,000 | Freeport-McMoRan, Inc., 4.55%, due 11/14/24 | 1,118,648 | ||||||||
210,000 | General Electric Capital Corp., 1.63%, due 07/02/15 | 210,650 | ||||||||
930,000 | General Electric Capital Corp., 4.38%, due 09/16/20 | 1,033,660 | ||||||||
1,165,000 | General Electric Capital Corp., 4.63%, due 01/07/21 | 1,313,365 | ||||||||
450,000 | General Electric Capital Corp., 4.65%, due 10/17/21 | 510,026 | ||||||||
1,390,000 | General Electric Capital Corp., 5.55%, due 05/04/20 | 1,620,213 | ||||||||
720,000 | General Electric Capital Corp., 6.38%, due 11/15/67† | 783,000 | ||||||||
480,000 | General Electric Capital Corp., 6.88%, due 01/10/39 | 692,860 | ||||||||
310,000 | General Electric Co., 4.50%, due 03/11/44 | 349,448 | ||||||||
450,000 | General Motors Co., 4.00%, due 04/01/25 | 458,950 | ||||||||
1,045,000 | General Motors Financial Co., Inc., 3.50%, due 07/10/19 | 1,073,922 | ||||||||
580,000 | Gilead Sciences, Inc., 3.50%, due 02/01/25 | 612,377 | ||||||||
520,000 | Glencore Finance Canada, Ltd., 2.05%, due 10/23/15 144A | 522,255 | ||||||||
470,000 | Glencore Finance Canada, Ltd., 2.70%, due 10/25/17 144A | 477,172 | ||||||||
100,000 | Glencore Finance Canada, Ltd., 5.80%, due 11/15/16 144A | 106,464 | ||||||||
320,000 | Glitnir Banki HF, Subordinated Note, 6.69%, due 06/15/16¤ **** ††† 144A | — | ||||||||
350,000 | GLP Capital, LP/GLP Financing II, Inc., 4.88%, due 11/01/20 | 360,500 | ||||||||
265,000 | Goldcorp, Inc., 3.63%, due 06/09/21 | 269,825 | ||||||||
150,000 | Goldman Sachs Group (The), Inc., 4.00%, due 03/03/24 | 158,706 | ||||||||
140,000 | Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21 | 159,340 | ||||||||
680,000 | Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18 | 757,653 | ||||||||
660,000 | Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41 | 863,394 | ||||||||
2,137,000 | Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19 | 2,552,655 | ||||||||
165,000 | HCA, Inc., 4.25%, due 10/15/19 | 169,744 | ||||||||
150,000 | HCA, Inc., 5.25%, due 04/15/25 | 162,188 | ||||||||
460,000 | HCA, Inc., 5.88%, due 03/15/22 | 510,457 | ||||||||
1,815,000 | HCA, Inc., 6.50%, due 02/15/16 | 1,885,513 | ||||||||
859,000 | HCP, Inc., 4.25%, due 11/15/23 | 904,437 | ||||||||
1,100,000 | Health Care REIT, Inc., 4.50%, due 01/15/24 | 1,183,140 | ||||||||
875,000 | Health Net, Inc., 6.38%, due 06/01/17 | 938,437 | ||||||||
1,250,000 | Hewlett-Packard Co., 3.30%, due 12/09/16 | 1,293,089 | ||||||||
270,000 | Home Depot (The), Inc., 4.40%, due 03/15/45 | 302,242 | ||||||||
740,000 | HSBC Finance Corp., 6.68%, due 01/15/21 | 879,775 | ||||||||
550,000 | HSBC Holdings Plc, 5.10%, due 04/05/21 | 628,960 | ||||||||
1,050,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 05/02/36 | 1,331,683 | ||||||||
1,015,000 | HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37 | 1,299,336 | ||||||||
1,260,000 | Husky Energy, Inc., 7.25%, due 12/15/19 | 1,496,977 | ||||||||
420,000 | Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A | 422,688 | ||||||||
260,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 246,350 | ||||||||
120,000 | Intelsat Jackson Holdings SA, 7.25%, due 10/15/20 | 123,900 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.13%, due 01/15/16 | 253,454 | ||||||||
250,000 | Intesa Sanpaolo Spa, 3.63%, due 08/12/15 144A | 252,372 | ||||||||
500,000 | Jefferies Group LLC, 5.13%, due 01/20/23 | 519,833 |
See accompanying Notes to the Financial Statements. | 87 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
220,000 | John Deere Capital Corp., 2.25%, due 04/17/19 | 224,861 | ||||||||
300,000 | JPMorgan Chase & Co., 3.25%, due 09/23/22 | 307,319 | ||||||||
1,430,000 | JPMorgan Chase & Co., 3.38%, due 05/01/23 | 1,441,135 | ||||||||
90,000 | JPMorgan Chase & Co., 4.35%, due 08/15/21 | 99,136 | ||||||||
860,000 | JPMorgan Chase & Co., 4.40%, due 07/22/20 | 945,157 | ||||||||
200,000 | JPMorgan Chase & Co., 4.50%, due 01/24/22 | 221,395 | ||||||||
1,250,000 | JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17 | 1,370,401 | ||||||||
100,000 | Kaupthing Bank HF, 7.13%, due 05/19/16 ¤ **** ††† 144A | — | ||||||||
950,000 | Kentucky Power Co., 6.00%, due 09/15/17 144A | 1,048,030 | ||||||||
2,500,000 | Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24 | 2,559,930 | ||||||||
650,000 | Kinder Morgan Energy Partners, LP, 5.00%, due 08/15/42 | 633,564 | ||||||||
550,000 | Kinder Morgan Energy Partners, LP, 6.95%, due 01/15/38 | 653,733 | ||||||||
1,850,000 | Kinder Morgan, Inc., 4.30%, due 06/01/25 | 1,902,740 | ||||||||
2,252,000 | KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A | 2,654,083 | ||||||||
600,000 | Koninklijke Philips Electronics NV, 5.75%, due 03/11/18 | 671,024 | ||||||||
450,000 | Koppers, Inc., 7.88%, due 12/01/19 | 452,250 | ||||||||
360,000 | Kraft Foods Group, Inc., 3.50%, due 06/06/22 | 373,068 | ||||||||
349,000 | Kraft Foods Group, Inc., 5.38%, due 02/10/20 | 397,243 | ||||||||
400,000 | Kroger Co. (The), Senior Note, 6.15%, due 01/15/20 | 468,719 | ||||||||
300,000 | L Brands, Inc., 5.63%, due 10/15/23 | 334,500 | ||||||||
2,350,000 | Lafarge SA, 6.50%, due 07/15/16 | 2,496,875 | ||||||||
470,000 | Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%††† ††††† | 165 | ||||||||
270,000 | Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17††† | 95 | ||||||||
890,000 | Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17††† | 312 | ||||||||
1,150,000 | Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A | 1,227,028 | ||||||||
1,600,000 | Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A | 1,770,082 | ||||||||
1,380,000 | Lincoln National Corp., 4.00%, due 09/01/23 | 1,461,350 | ||||||||
700,000 | Lloyds Banking Group Plc, 4.50%, due 11/04/24 | 728,494 | ||||||||
1,010,000 | LyondellBasell Industries NV, 5.00%, due 04/15/19 | 1,114,758 | ||||||||
525,000 | Macy’s Retail Holdings, Inc., 6.38%, due 03/15/37 | 686,441 | ||||||||
1,790,000 | Macy’s Retail Holdings, Inc., 6.65%, due 07/15/24 | 2,250,279 | ||||||||
350,000 | Macy’s Retail Holdings, Inc., 6.90%, due 01/15/32 | 462,260 | ||||||||
600,000 | Macy’s Retail Holdings, Inc., 7.00%, due 02/15/28 | 778,530 | ||||||||
230,000 | Martin Marietta Materials, Inc., 4.25%, due 07/02/24 | 241,586 | ||||||||
725,000 | Massachusetts Institute of Technology, 4.68%, due 07/01/14# | 870,056 | ||||||||
70,000 | Medtronic, Inc., 3.13%, due 03/15/22 | 72,691 | ||||||||
190,000 | Medtronic, Inc., 3.15%, due 03/15/22 144A | 197,473 | ||||||||
970,000 | Medtronic, Inc., 3.50%, due 03/15/25 144A | 1,015,308 | ||||||||
1,578,000 | Medtronic, Inc., 4.38%, due 03/15/35 144A | 1,719,476 | ||||||||
625,000 | Merck & Co., Inc., 4.15%, due 05/18/43 | 674,640 | ||||||||
840,000 | Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17 | 905,460 | ||||||||
1,152,000 | MetLife, Inc., 3.00%, due 03/01/25 | 1,155,992 | ||||||||
250,000 | MetLife, Inc., 4.75%, due 02/08/21 | 282,988 | ||||||||
420,000 | MetLife, Inc., Subordinated Note, 6.40%, due 12/15/66 | 499,800 | ||||||||
1,160,000 | Microsoft Corp., 2.70%, due 02/12/25 | 1,165,944 | ||||||||
165,630 | Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28 | 181,779 | ||||||||
80,000 | Monsanto Co., 4.40%, due 07/15/44 | 86,393 | ||||||||
1,720,000 | Morgan Stanley, 4.10%, due 05/22/23 | 1,791,877 | ||||||||
70,000 | Morgan Stanley, 4.75%, due 03/22/17 | 74,557 |
88 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
325,000 | Morgan Stanley, 5.45%† ††††† | 327,844 | ||||||||
1,547,000 | Morgan Stanley, 7.30%, due 05/13/19 | 1,852,381 | ||||||||
130,000 | Morgan Stanley, (MTN), Series F, 0.71%, due 10/18/16† | 129,891 | ||||||||
1,000,000 | Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18 | 1,138,134 | ||||||||
1,300,000 | Myriad International Holdings BV, 6.00%, due 07/18/20 144A | 1,446,250 | ||||||||
400,000 | Navient Corp., 4.63%, due 09/25/17 | 407,000 | ||||||||
10,000 | Navient Corp., 5.00%, due 04/15/15 | 10,013 | ||||||||
1,750,000 | Navient Corp., 6.00%, due 01/25/17 | 1,845,156 | ||||||||
475,000 | Navient Corp., 6.25%, due 01/25/16 | 489,844 | ||||||||
350,000 | Navient Corp., 8.45%, due 06/15/18 | 389,375 | ||||||||
1,037,000 | New York and Presbyterian Hospital (The), 4.02%, due 08/01/45 | 1,050,759 | ||||||||
50,000 | News America, Inc., 4.50%, due 02/15/21 | 55,455 | ||||||||
525,000 | News America, Inc., 5.65%, due 08/15/20 | 610,101 | ||||||||
475,000 | News America, Inc., 6.20%, due 12/15/34 | 608,600 | ||||||||
275,000 | News America, Inc., 6.40%, due 12/15/35 | 362,940 | ||||||||
660,000 | Nippon Life Insurance Co., 5.10%, due 10/16/44† 144A | 718,099 | ||||||||
780,000 | Noble Energy, Inc., 4.15%, due 12/15/21 | 827,342 | ||||||||
1,403,000 | Noble Energy, Inc., 8.25%, due 03/01/19 | 1,679,881 | ||||||||
1,000,000 | Nordstrom, Inc., 6.25%, due 01/15/18 | 1,128,642 | ||||||||
530,000 | Norfolk Southern Corp., 4.80%, due 08/15/43 | 613,225 | ||||||||
220,000 | Northern States Power Co., 4.13%, due 05/15/44 | 241,844 | ||||||||
350,000 | NRG Energy, Inc., 6.25%, due 05/01/24 | 354,375 | ||||||||
320,000 | Oracle Corp., 4.30%, due 07/08/34 | 347,903 | ||||||||
1,757,000 | Pacific Gas & Electric Co., 3.75%, due 02/15/24 | 1,875,120 | ||||||||
460,000 | Pacific Gas & Electric Co., 6.05%, due 03/01/34 | 602,824 | ||||||||
606,000 | Pemex Project Funding Master Trust, 6.63%, due 06/15/35 | 696,900 | ||||||||
730,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19¤ 144A | 731,669 | ||||||||
400,000 | Petrobras Global Finance BV, 3.88%, due 01/27/16 | 393,352 | ||||||||
1,175,000 | Petrobras Global Finance BV, 4.38%, due 05/20/23 | 1,007,680 | ||||||||
875,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 798,131 | ||||||||
675,000 | Petrobras Global Finance BV, 6.25%, due 03/17/24‡ | 638,077 | ||||||||
992,000 | Petroleos Mexicanos, 3.50%, due 01/30/23 | 971,168 | ||||||||
300,000 | Petroleos Mexicanos, 4.25%, due 01/15/25 144A | 304,815 | ||||||||
600,000 | Petroleos Mexicanos, 4.88%, due 01/18/24 | 636,600 | ||||||||
430,000 | Petroleos Mexicanos, 5.50%, due 01/21/21 | 474,075 | ||||||||
1,150,000 | Petroleos Mexicanos, 5.63%, due 01/23/46 144A | 1,170,125 | ||||||||
2,150,000 | Petroleos Mexicanos, 6.38%, due 01/23/45 | 2,409,075 | ||||||||
480,000 | Philip Morris International, Inc., 2.90%, due 11/15/21 | 494,108 | ||||||||
1,330,000 | Phillips 66, 4.65%, due 11/15/34 | 1,413,766 | ||||||||
1,190,000 | PNC Bank NA, 2.95%, due 01/30/23 | 1,196,199 | ||||||||
540,000 | PPL Capital Funding, Inc., 5.00%, due 03/15/44 | 641,091 | ||||||||
1,004,000 | Pride International, Inc., 6.88%, due 08/15/20 | 1,144,678 | ||||||||
675,000 | Provident Cos., Inc., 7.25%, due 03/15/28 | 893,770 | ||||||||
1,000,000 | Prudential Financial, Inc., 7.38%, due 06/15/19 | 1,211,990 | ||||||||
1,689,000 | PSEG Power LLC, 8.63%, due 04/15/31 | 2,492,505 | ||||||||
170,000 | QEP Resources, Inc., 6.88%, due 03/01/21 | 181,475 | ||||||||
2,153,000 | Reed Elsevier Capital, Inc., 3.13%, due 10/15/22 | 2,165,713 | ||||||||
755,000 | Reynolds American, Inc., Senior Note, 6.75%, due 06/15/17 | 838,258 | ||||||||
3,400,000 | Rio Oil Finance Trust, 6.25%, due 07/06/24‡ 144A | 3,107,665 |
See accompanying Notes to the Financial Statements. | 89 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,700,000 | Rio Oil Finance Trust, 6.75%, due 01/06/27 144A | 2,435,786 | ||||||||
920,000 | Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19 | 1,167,692 | ||||||||
1,886,000 | Roche Holdings, Inc., 2.88%, due 09/29/21 144A | 1,954,337 | ||||||||
169,000 | Roche Holdings, Inc., Guaranteed Note, 6.00%, due 03/01/19 144A | 195,851 | ||||||||
170,000 | Rock-Tenn Co., 3.50%, due 03/01/20 | 176,675 | ||||||||
1,500,000 | Rogers Communications, Inc., 6.80%, due 08/15/18 | 1,741,506 | ||||||||
825,000 | Royal Bank of Scotland Group Plc, 6.00%, due 12/19/23 | 919,258 | ||||||||
2,050,000 | Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22 | 2,312,088 | ||||||||
1,220,000 | Sempra Energy, 2.40%, due 03/15/20 | 1,234,975 | ||||||||
850,000 | Simon Property Group, LP, 6.75%, due 02/01/40 | 1,193,108 | ||||||||
320,000 | Softbank Corp., 4.50%, due 04/15/20 144A | 328,000 | ||||||||
880,000 | Southern Copper Corp., 5.25%, due 11/08/42 | 806,564 | ||||||||
1,865,000 | Sprint Nextel Corp., 6.00%, due 12/01/16 | 1,950,557 | ||||||||
245,000 | State Grid Overseas Investment 2014, Ltd., 2.75%, due 05/07/19 144A | 249,878 | ||||||||
850,000 | State Street Corp., 4.96%, due 03/15/18 | 920,372 | ||||||||
270,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, due 04/15/21 144A | 268,650 | ||||||||
70,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 7.75%, due 04/15/20¤ 144A | 74,550 | ||||||||
380,000 | Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39¤ 144A | 531,370 | ||||||||
700,000 | Telecom Italia Capital SA, 7.00%, due 06/04/18 | 782,687 | ||||||||
1,900,000 | Telecom Italia Capital SA, 7.18%, due 06/18/19 | 2,194,500 | ||||||||
825,000 | Telecom Italia Capital SA, Guaranteed Senior Note, 7.72%, due 06/04/38 | 967,312 | ||||||||
725,000 | Telecom Italia Spa, 5.30%, due 05/30/24 144A | 762,156 | ||||||||
1,568,000 | Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22 | 1,684,888 | ||||||||
260,000 | Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19 | 295,620 | ||||||||
90,000 | Tenet Healthcare Corp., 4.50%, due 04/01/21 | 88,538 | ||||||||
350,000 | Tenet Healthcare Corp., 6.00%, due 10/01/20 | 371,875 | ||||||||
220,000 | Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21 | 229,963 | ||||||||
300,000 | Time Warner Cable, Inc., 4.00%, due 09/01/21 | 321,566 | ||||||||
520,000 | Time Warner Cable, Inc., 4.13%, due 02/15/21 | 559,983 | ||||||||
10,000 | Time Warner Cable, Inc., 5.00%, due 02/01/20 | 11,172 | ||||||||
740,000 | Time Warner Cable, Inc., 5.85%, due 05/01/17 | 805,277 | ||||||||
2,055,000 | Time Warner Cable, Inc., 8.25%, due 04/01/19 | 2,515,747 | ||||||||
1,075,000 | Time Warner Cable, Inc., 8.75%, due 02/14/19 | 1,328,156 | ||||||||
180,000 | Time Warner Entertainment Co. LP, Senior Subordinated Note, 8.38%, due 07/15/33 | 264,702 | ||||||||
260,000 | Time Warner, Inc., 4.70%, due 01/15/21 | 289,831 | ||||||||
200,000 | Time Warner, Inc., 4.75%, due 03/29/21 | 223,594 | ||||||||
2,965,000 | Time Warner, Inc., 7.70%, due 05/01/32 | 4,227,888 | ||||||||
130,000 | Transocean, Inc., 5.05%, due 12/15/16 | 131,788 | ||||||||
500,000 | UBS AG/Stamford CT, 1.80%, due 03/26/18 | 501,749 | ||||||||
2,087,000 | Union Pacific Corp., 4.16%, due 07/15/22 | 2,338,711 | ||||||||
3,600,000 | United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27 | 3,798,000 | ||||||||
90,000 | UnitedHealth Group, Inc., 3.38%, due 11/15/21 | 96,277 | ||||||||
665,000 | UnitedHealth Group, Inc., 4.38%, due 03/15/42 | 735,113 | ||||||||
2,000,000 | Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20 | 2,023,978 | ||||||||
40,000 | Verizon Communications, Inc., 2.45%, due 11/01/22 | 38,839 | ||||||||
350,000 | Verizon Communications, Inc., 3.45%, due 03/15/21 | 366,341 | ||||||||
900,000 | Verizon Communications, Inc., 4.15%, due 03/15/24 | 967,522 |
90 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
433,000 | Verizon Communications, Inc., 4.27%, due 01/15/36 144A | 431,159 | ||||||||
1,821,000 | Verizon Communications, Inc., 4.52%, due 09/15/48 144A | 1,820,527 | ||||||||
2,719,000 | Verizon Communications, Inc., 4.86%, due 08/21/46 | 2,853,615 | ||||||||
2,357,000 | Verizon Communications, Inc., 5.01%, due 08/21/54 | 2,456,326 | ||||||||
110,000 | Verizon Communications, Inc., 5.05%, due 03/15/34 | 119,665 | ||||||||
50,000 | Verizon Communications, Inc., 6.35%, due 04/01/19 | 58,237 | ||||||||
3,300,000 | Verizon Communications, Inc., 6.55%, due 09/15/43 | 4,303,438 | ||||||||
1,152,000 | Viacom, Inc., 4.85%, due 12/15/34 | 1,193,844 | ||||||||
31,000 | Vulcan Materials Co., 6.50%, due 12/01/16 | 33,784 | ||||||||
1,850,000 | Vulcan Materials Co., 7.50%, due 06/15/21 | 2,229,250 | ||||||||
1,064,000 | Wal-Mart Stores, Inc., 6.50%, due 08/15/37 | 1,491,420 | ||||||||
1,855,000 | WEA Finance LLC/Westfield UK & Europe Finance Plc, 2.70%, due 09/17/19 144A | 1,879,722 | ||||||||
190,000 | Wells Fargo & Co., 1.50%, due 01/16/18 | 191,039 | ||||||||
250,000 | Wells Fargo & Co., 3.45%, due 02/13/23 | 256,064 | ||||||||
1,308,000 | Wells Fargo & Co., 4.48%, due 01/16/24 | 1,422,217 | ||||||||
90,000 | Wells Fargo & Co., 4.60%, due 04/01/21 | 101,157 | ||||||||
1,000,000 | Weyerhaeuser Co., 7.38%, due 10/01/19 | 1,198,212 | ||||||||
925,000 | Williams Partners, LP, 4.90%, due 01/15/45 | 870,700 | ||||||||
290,000 | Williams Partners, LP/Williams Partners Finance Corp., Senior Note, 7.25%, due 02/01/17 | 318,729 | ||||||||
80,000 | WM Wrigley Jr Co., 2.40%, due 10/21/18 144A | 81,501 | ||||||||
320,000 | WM Wrigley Jr Co., 2.90%, due 10/21/19 144A | 330,283 | ||||||||
90,000 | WM Wrigley Jr Co., 3.38%, due 10/21/20 144A | 94,429 | ||||||||
500,000 | Xerox Corp., 2.75%, due 03/15/19‡ | 509,552 | ||||||||
500,000 | Xerox Corp., 4.50%, due 05/15/21 | 543,297 | ||||||||
600,000 | Xerox Corp., 5.63%, due 12/15/19 | 679,953 | ||||||||
2,500,000 | Xerox Corp., 6.35%, due 05/15/18 | 2,825,385 | ||||||||
1,070,000 | Zimmer Holdings, Inc., 3.55%, due 04/01/25 | 1,093,539 | ||||||||
|
| |||||||||
334,213,947 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - Private Issuers — 10.6% | ||||||||||
1,586,327 | Banc of America Commercial Mortgage Trust, Series 2007-1, Class A4, 5.45%, | 1,687,763 | ||||||||
136,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM, 5.42%, due 09/10/45† | 139,789 | ||||||||
612,847 | Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 0.87%, due 01/25/35† | 598,306 | ||||||||
3,184,200 | Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A4, 5.70%, due 09/11/38† | 3,313,808 | ||||||||
1,600,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47 | 1,682,058 | ||||||||
1,500,000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4, 2.88%, due 02/10/48 | 1,511,960 | ||||||||
1,000,000 | Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46 | 1,044,559 | ||||||||
27,500,000 | Citigroup Commercial Mortgage Trust, Inc., (IO), Series 2014-GC21, Class XB, 0.33%, due 05/10/47† | 965,979 | ||||||||
2,530,000 | Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.80%, due 12/10/49† | 2,751,773 |
See accompanying Notes to the Financial Statements. | 91 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
300,000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46 | 307,794 | ||||||||
100,000 | Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46 | 100,719 | ||||||||
1,000,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR18, Class A4, 3.55%, due 07/15/47 | 1,066,236 | ||||||||
1,600,000 | Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47 | 1,674,193 | ||||||||
2,150,000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47 | 2,226,257 | ||||||||
53,000,000 | Commercial Mortgage Pass Through Certificates, (IO), Series 2014-CR17, Class XB, 0.21%, due 05/10/47† 144A | 1,008,299 | ||||||||
1,596,276 | Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class A3, 5.38%, due 02/15/40 | 1,682,010 | ||||||||
1,500,000 | Credit Suisse Mortgage Trust, Series 2015-3R, Class 10A1, 2.16%, due 10/29/47† 144A | 1,489,950 | ||||||||
1,500,000 | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A3, 3.24%, due 04/15/50 | 1,556,347 | ||||||||
5,297,931 | FHLMC, Series 4274, Class KC, 2.50%, due 02/15/36 | 5,417,097 | ||||||||
1,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K033, Class A2, 3.06%, due 07/25/23† | 1,054,920 | ||||||||
1,600,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K502, Class A2, 1.43%, due 08/25/17 | 1,617,769 | ||||||||
28,388,758 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 0.90%, due 10/25/22† | 1,560,487 | ||||||||
1,537,509 | FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M1, 2.12%, due 11/25/24† | 1,552,923 | ||||||||
473,997 | FNMA Connecticut Avenue Securities, Series 2015-C01, Class 1M1, 1.67%, due 02/25/25† | 477,370 | ||||||||
5,370,000 | FNMA-ACES, Series 2014-M1, Class ASQ2, 2.32%, due 11/25/18† | 5,524,047 | ||||||||
1,200,000 | FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24† | 1,285,960 | ||||||||
900,000 | FNMA-ACES, Series 2014-M4, Class AB2, 3.20%, due 03/25/24 | 953,034 | ||||||||
3,700,000 | FNMA-ACES, Series 2014-M4, Class ASQ2, 1.27%, due 01/25/17 | 3,725,068 | ||||||||
290,000 | Fremont Home Loan Trust, Series 2004-B, Class M1, 1.04%, due 05/25/34† | 271,253 | ||||||||
4,731,096 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A5, 5.22%, due 04/10/37† | 4,767,381 | ||||||||
1,500,000 | Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class AM, 5.28%, due 04/10/37† | 1,523,170 | ||||||||
4,900,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49 | 5,287,105 | ||||||||
5,000,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, due 03/10/39 | 5,280,642 | ||||||||
1,800,000 | GS Mortgage Securities Corp. II, Series 2013-GC12, Class A3, 2.86%, due 06/10/46 | 1,843,637 | ||||||||
900,000 | GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48 | 924,810 | ||||||||
284,351 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47 | 299,742 | ||||||||
3,300,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.78%, due 06/15/49† | 3,532,896 | ||||||||
1,725,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47 | 1,838,736 | ||||||||
500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46 | 528,648 |
92 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - Private Issuers — continued | ||||||||||
1,500,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46 | 1,513,968 | ||||||||
1,688,397 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A1A, 5.39%, due 02/15/40 | 1,812,949 | ||||||||
1,000,000 | LSTAR Securities Investment Trust, Series 2015-3, Class A, 2.18%, due 03/01/20† 144A | 987,000 | ||||||||
300,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49 | 321,966 | ||||||||
100,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46 | 102,871 | ||||||||
3,448,212 | Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, due 04/15/49† | 3,701,464 | ||||||||
2,772,215 | Morgan Stanley Capital I, Inc., Series 2005-HQ7, Class A4, 5.20%, due 11/14/42† | 2,798,386 | ||||||||
298,000 | Morgan Stanley Capital I, Inc., Series 2007-HQ11, Class A4, 5.45%, due 02/12/44† | 315,629 | ||||||||
230,699 | Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.47%, due 05/25/35† | 233,596 | ||||||||
3,339,231 | Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33 | 3,525,204 | ||||||||
1,541,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5, 5.50%, due 04/15/47 | 1,658,227 | ||||||||
3,286,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46 | 3,536,769 | ||||||||
47,103 | WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.41%, due 09/25/33† | 48,704 | ||||||||
|
| |||||||||
94,631,228 | ||||||||||
|
| |||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — 26.3% |
| |||||||||
881,708 | FHLMC, Pool # 1Q0481, 2.02%, due 02/01/38† | 937,129 | ||||||||
5,865,501 | FHLMC, Pool # 1Q1587, 2.38%, due 06/01/37† | 6,291,801 | ||||||||
1,028,626 | FHLMC, Pool # J26100, 3.00%, due 10/01/28 | 1,082,346 | ||||||||
915,839 | FHLMC, Pool # V60565, 3.00%, due 06/01/29 | 963,777 | ||||||||
1,876,923 | FHLMC, Pool # V60603, 3.00%, due 09/01/29 | 1,972,679 | ||||||||
1,914,266 | FHLMC, Pool # V60599, 3.00%, due 09/01/29 | 2,014,430 | ||||||||
2,072,539 | FHLMC, Pool # 849372, 3.10%, due 06/01/44† | 2,161,722 | ||||||||
2,052,364 | FHLMC, Pool # 2B1967, 3.13%, due 12/01/43† | 2,140,944 | ||||||||
480,277 | FHLMC, Pool # J16432, 3.50%, due 08/01/26 | 513,587 | ||||||||
473,371 | FHLMC, Pool # J17763, 3.50%, due 01/01/27 | 506,209 | ||||||||
494,796 | FHLMC, Pool # Q11218, 3.50%, due 09/01/42 | 519,786 | ||||||||
934,743 | FHLMC, Pool # Q12052, 3.50%, due 10/01/42 | 981,886 | ||||||||
1,624,295 | FHLMC, Pool # Q12862, 3.50%, due 11/01/42 | 1,712,955 | ||||||||
782,277 | FHLMC, Pool # Q17792, 3.50%, due 05/01/43 | 824,980 | ||||||||
1,830,913 | FHLMC, Pool # 849096, 3.60%, due 10/01/41† | 1,929,661 | ||||||||
3,569,701 | FHLMC, Pool # J13193, 4.00%, due 10/01/25 | 3,803,045 | ||||||||
1,056,650 | FHLMC, Pool # G14919, 4.00%, due 06/01/26 | 1,122,020 | ||||||||
111,812 | FHLMC, Pool # G14350, 4.00%, due 12/01/26 | 119,178 | ||||||||
809,697 | FHLMC, Pool # G14678, 4.00%, due 12/01/26 | 862,736 | ||||||||
3,224,231 | FHLMC, Pool # C91402, 4.00%, due 10/01/31 | 3,479,151 | ||||||||
763,102 | FHLMC, Pool # G30700, 4.00%, due 04/01/34 | 823,548 | ||||||||
1,322,944 | FHLMC, Pool # G06231, 4.00%, due 12/01/40 | 1,418,310 | ||||||||
875,201 | FHLMC, Pool # A96970, 4.00%, due 02/01/41 | 938,397 | ||||||||
2,890,101 | FHLMC, Pool # Q04020, 4.00%, due 10/01/41 | 3,097,582 | ||||||||
1,641,634 | FHLMC, Pool # A89870, 4.50%, due 11/01/39 | 1,791,480 |
See accompanying Notes to the Financial Statements. | 93 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
1,870,548 | FHLMC, Pool # Q02552, 4.50%, due 08/01/41 | 2,042,539 | ||||||||
266,501 | FHLMC, Pool # G07515, 4.50%, due 09/01/41 | 290,448 | ||||||||
1,169,146 | FHLMC, Pool # G08568, 4.50%, due 01/01/44 | 1,272,799 | ||||||||
1,625,930 | FHLMC, Pool # G07021, 5.00%, due 09/01/39 | 1,801,090 | ||||||||
435,212 | FHLMC, Pool # G01749, 5.50%, due 01/01/35 | 491,925 | ||||||||
418,290 | FHLMC, Pool # G06875, 5.50%, due 12/01/38 | 471,554 | ||||||||
1,140,116 | FHLMC, Pool # 782735, 5.56%, due 09/01/36† | 1,215,045 | ||||||||
20,145 | FHLMC, Pool # H09061, 6.00%, due 06/01/37 | 22,346 | ||||||||
829,083 | FHLMC, Pool # G06409, 6.00%, due 11/01/39 | 943,023 | ||||||||
5,893,887 | FHLMC, Series 4283, Class EW, 5.63%, due 12/15/43† | 6,512,259 | ||||||||
36,430,703 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.03%, due 01/25/20† | 1,494,788 | ||||||||
27,082,750 | FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.18%, due 04/25/20† | 1,205,575 | ||||||||
253,489 | FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36 | 288,823 | ||||||||
500,000 | FHLMC TBA, 3.00%, due 09/01/42 | 510,117 | ||||||||
2,000,000 | FHLMC TBA, 3.00%, due 09/01/42 | 2,035,742 | ||||||||
500,000 | FHLMC TBA, 4.00%, due 01/01/42 | 534,102 | ||||||||
1,977,165 | FNMA, Pool # AD0065, 1.92%, due 09/01/35† | 2,082,798 | ||||||||
776,854 | FNMA, Pool # 995269, 1.92%, due 07/01/35† | 817,768 | ||||||||
70,317 | FNMA, Pool # 840589, 2.40%, due 09/01/35† | 75,429 | ||||||||
1,003,396 | FNMA, Pool # AO7971, 2.50%, due 06/01/27 | 1,033,400 | ||||||||
1,367,937 | FNMA, Pool # AX2197, 2.76%, due 12/01/44† | 1,416,651 | ||||||||
705,598 | FNMA, Pool # AT7040, 2.90%, due 09/01/44† | 733,461 | ||||||||
1,833,823 | FNMA, Pool # AB7505, 3.00%, due 01/01/43 | 1,879,979 | ||||||||
1,399,419 | FNMA, Pool # AT0232, 3.00%, due 03/01/43 | 1,434,294 | ||||||||
1,926,241 | FNMA, Pool # AU1292, 3.00%, due 07/01/43 | 1,973,380 | ||||||||
981,412 | FNMA, Pool # AX3719, 3.50%, due 07/01/27 | 1,047,744 | ||||||||
1,833,458 | FNMA, Pool # AJ9278, 3.50%, due 12/01/41 | 1,929,211 | ||||||||
2,691,788 | FNMA, Pool # AL1895, 3.50%, due 06/01/42 | 2,844,655 | ||||||||
1,897,262 | FNMA, Pool # AL3316, 3.50%, due 03/01/43 | 2,000,203 | ||||||||
2,305,562 | FNMA, Pool # AU0920, 3.50%, due 07/01/43 | 2,428,049 | ||||||||
934,068 | FNMA, Pool # AL2733, 3.89%, due 07/01/41† | 998,690 | ||||||||
2,251,582 | FNMA, Pool # MA1689, 4.00%, due 12/01/33 | 2,432,403 | ||||||||
2,393,209 | FNMA, Pool # 725331, 4.00%, due 01/01/34 | 2,567,131 | ||||||||
6,269,248 | FNMA, Pool # MA1858, 4.00%, due 04/01/34 | 6,775,257 | ||||||||
1,202,165 | FNMA, Pool # AL6300, 4.00%, due 05/01/34 | 1,308,373 | ||||||||
454,825 | FNMA, Pool # AS2666, 4.00%, due 06/01/34 | 490,895 | ||||||||
900,078 | FNMA, Pool # MA2019, 4.00%, due 09/01/34 | 972,842 | ||||||||
1,313,628 | FNMA, Pool # 932807, 4.00%, due 09/01/40 | 1,408,515 | ||||||||
2,700,234 | FNMA, Pool # AH4404, 4.00%, due 01/01/41 | 2,896,447 | ||||||||
435,525 | FNMA, Pool # AO4109, 4.00%, due 06/01/42 | 467,729 | ||||||||
535,949 | FNMA, Pool # AB9383, 4.00%, due 05/01/43 | 579,810 | ||||||||
2,221,143 | FNMA, Pool # AW5109, 4.00%, due 08/01/44 | 2,386,884 | ||||||||
4,448,329 | FNMA, Pool # AD0244, 4.50%, due 10/01/24 | 4,798,828 | ||||||||
1,275,239 | FNMA, Pool # AL4147, 4.50%, due 01/01/25 | 1,375,299 | ||||||||
289,052 | FNMA, Pool # MA0634, 4.50%, due 01/01/31 | 316,922 | ||||||||
998,973 | FNMA, Pool # AL5861, 4.50%, due 01/01/31 | 1,092,823 | ||||||||
1,247,992 | FNMA, Pool # AL4549, 4.50%, due 01/01/32 | 1,367,468 |
94 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
2,721,273 | FNMA, Pool # 310098, 4.50%, due 06/01/36 | 2,979,905 | ||||||||
1,766,772 | FNMA, Pool # AA4414, 4.50%, due 03/01/39 | 1,955,033 | ||||||||
1,669,639 | FNMA, Pool # AD9153, 4.50%, due 08/01/40 | 1,828,298 | ||||||||
1,975,002 | FNMA, Pool # AL0215, 4.50%, due 04/01/41 | 2,165,034 | ||||||||
1,820,727 | FNMA, Pool # AL5749, 4.50%, due 07/01/42 | 1,994,690 | ||||||||
3,155,957 | FNMA, Pool # MA1860, 4.50%, due 04/01/44 | 3,449,504 | ||||||||
2,635,723 | FNMA, Pool # AL2439, 5.00%, due 06/01/26 | 2,864,970 | ||||||||
2,478,893 | FNMA, Pool # 254903, 5.00%, due 10/01/33 | 2,780,322 | ||||||||
1,577,793 | FNMA, Pool # 725027, 5.00%, due 11/01/33 | 1,761,785 | ||||||||
1,369,005 | FNMA, Pool # 745148, 5.00%, due 01/01/36 | 1,522,279 | ||||||||
1,118,160 | FNMA, Pool # 995245, 5.00%, due 01/01/39 | 1,242,068 | ||||||||
446,850 | FNMA, Pool # AI1892, 5.00%, due 05/01/41 | 501,431 | ||||||||
1,172,045 | FNMA, Pool # AL5955, 5.00%, due 01/01/42 | 1,304,752 | ||||||||
1,876,015 | FNMA, Pool # AL5788, 5.00%, due 05/01/42 | 2,090,401 | ||||||||
297,558 | FNMA, Pool # AE0011, 5.50%, due 09/01/23 | 326,403 | ||||||||
1,141,569 | FNMA, Pool # 995253, 5.50%, due 12/01/23 | 1,250,679 | ||||||||
1,541,015 | FNMA, Pool # AL0278, 5.50%, due 01/01/25 | 1,703,668 | ||||||||
10,161 | FNMA, Pool # 254548, 5.50%, due 12/01/32 | 11,515 | ||||||||
1,002,689 | FNMA, Pool # 704235, 5.50%, due 05/01/33 | 1,135,705 | ||||||||
111,855 | FNMA, Pool # 555591, 5.50%, due 07/01/33 | 126,734 | ||||||||
1,428,561 | FNMA, Pool # 725221, 5.50%, due 01/01/34 | 1,618,782 | ||||||||
66,675 | FNMA, Pool # 735224, 5.50%, due 02/01/35 | 75,543 | ||||||||
132,485 | FNMA, Pool # 990906, 5.50%, due 10/01/35 | 149,644 | ||||||||
748,888 | FNMA, Pool # 849077, 5.50%, due 01/01/36 | 845,078 | ||||||||
1,606,999 | FNMA, Pool # 983471, 5.50%, due 05/01/38 | 1,808,562 | ||||||||
1,646,723 | FNMA, Pool # 985184, 5.50%, due 08/01/38 | 1,853,267 | ||||||||
722,717 | FNMA, Pool # AX1916, 5.50%, due 12/01/41 | 831,592 | ||||||||
1,171,301 | FNMA, Pool # AL0144, 5.52%, due 11/01/37† | 1,253,722 | ||||||||
1,224,044 | FNMA, Pool # 745506, 5.66%, due 02/01/16 | 1,246,683 | ||||||||
200,920 | FNMA, Pool # 256517, 6.00%, due 12/01/26 | 228,865 | ||||||||
2,184,051 | FNMA, Pool # 725162, 6.00%, due 02/01/34 | 2,509,596 | ||||||||
1,467,852 | FNMA, Pool # AD0218, 6.00%, due 09/01/36 | 1,688,571 | ||||||||
54,428 | FNMA, Pool # 888736, 6.00%, due 10/01/37 | 60,072 | ||||||||
141,279 | FNMA, Pool # 955166, 6.00%, due 11/01/37 | 156,114 | ||||||||
642,168 | FNMA, Pool # AL0406, 6.00%, due 06/01/38 | 709,078 | ||||||||
187,956 | FNMA, Pool # AL0852, 6.00%, due 06/01/38 | 207,513 | ||||||||
486,813 | FNMA, Pool # AL0901, 6.00%, due 07/01/38 | 545,534 | ||||||||
821,144 | FNMA, Pool # AE0469, 6.00%, due 12/01/39 | 935,318 | ||||||||
871,003 | FNMA, Pool # 256421, 6.50%, due 09/01/36 | 1,023,499 | ||||||||
511,629 | FNMA, Pool # AL0778, 6.50%, due 01/01/49 | 570,178 | ||||||||
1,380,454 | FNMA, Pool # 888369, 7.00%, due 03/01/37 | 1,618,827 | ||||||||
1,774,066 | FNMA, Series 2007-50, Class DZ, 5.50%, due 06/25/37 | 1,992,137 | ||||||||
1,532,864 | FNMA, Series 2007-63, Class VZ, 5.50%, due 07/25/37 | 1,658,394 | ||||||||
2,947,799 | FNMA, Series 2007-70, Class Z, 5.50%, due 07/25/37 | 3,340,815 | ||||||||
1,228,481 | FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41 | 1,473,254 | ||||||||
137,836 | FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39 | 154,933 | ||||||||
76,522 | FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44 | 88,494 | ||||||||
859,080 | FNMA REMIC Trust 2007-W1, Series 2007-W10, Class 2A, 6.32%, due 08/25/47† | 978,528 | ||||||||
2,500,000 | FNMA TBA, 2.50%, due 10/01/27 | 2,567,773 |
See accompanying Notes to the Financial Statements. | 95 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations — continued |
| |||||||||
4,000,000 | FNMA TBA, 3.00%, due 10/01/42 | 4,079,922 | ||||||||
1,500,000 | FNMA TBA, 3.50%, due 10/01/42 | 1,575,586 | ||||||||
7,500,000 | FNMA TBA, 3.50%, due 10/01/42 | 7,858,887 | ||||||||
500,000 | FNMA TBA, 5.00%, due 05/01/37 | 556,055 | ||||||||
500,000 | FNMA TBA, 5.50%, due 10/01/34 | 563,438 | ||||||||
2,260,626 | FNMA Trust, Series 2004-W1, Class 2A2, 7.00%, due 12/25/33 | 2,677,477 | ||||||||
112,886 | FNMA Trust, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44 | 128,126 | ||||||||
2,903,004 | GNMA, Pool # AB2761, 3.50%, due 08/15/42 | 3,061,500 | ||||||||
2,633,455 | GNMA, Pool # AB2759, 3.50%, due 08/15/42 | 2,777,112 | ||||||||
1,971,292 | GNMA, Pool # MA2445, 3.50%, due 12/20/44 | 2,078,501 | ||||||||
1,089,410 | GNMA, Pool # 004833, 4.00%, due 10/20/40 | 1,170,118 | ||||||||
908,302 | GNMA, Pool # 004977, 4.00%, due 03/20/41 | 975,701 | ||||||||
1,365,558 | GNMA, Pool # MA2372, 4.00%, due 11/20/44 | 1,464,440 | ||||||||
957,297 | GNMA, Pool # 698474, 4.50%, due 08/15/39 | 1,072,763 | ||||||||
1,001,133 | GNMA, Pool # 004636, 4.50%, due 02/20/40 | 1,095,399 | ||||||||
191,860 | GNMA, Pool # 004678, 4.50%, due 04/20/40 | 209,868 | ||||||||
2,580,088 | GNMA, Pool # 004978, 4.50%, due 03/20/41 | 2,816,545 | ||||||||
4,140,829 | GNMA, Pool # 005055, 4.50%, due 05/20/41 | 4,517,789 | ||||||||
518,909 | GNMA, Pool # 005334, 5.00%, due 03/20/42 | 582,070 | ||||||||
3,930,747 | GNMA, Pool # MA1922, 5.00%, due 05/20/44 | 4,348,992 | ||||||||
1,000,000 | GNMA TBA, 3.00%, due 02/01/43 | 1,029,746 | ||||||||
500,000 | GNMA TBA, 3.50%, due 03/01/42 | 526,602 | ||||||||
3,000,000 | GNMA TBA, 3.50%, due 01/01/43 | 3,156,914 | ||||||||
4,000,000 | GNMA TBA, 4.00%, due 11/01/42 | 4,262,031 | ||||||||
|
| |||||||||
234,845,976 | ||||||||||
|
| |||||||||
Municipal Obligations — 2.7% |
| |||||||||
300,000 | California Bay Area Toll Authority, 6.26%, due 04/01/49 | 430,221 | ||||||||
1,435,000 | City of Houston General Obligation, 6.29%, due 03/01/32 | 1,819,752 | ||||||||
90,000 | District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14# | 108,608 | ||||||||
490,000 | District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44 | 631,703 | ||||||||
900,000 | Energy Northwest, 2.80%, due 07/01/21 | 924,192 | ||||||||
1,565,000 | Los Angeles Unified School District, 5.75%, due 07/01/34 | 1,990,070 | ||||||||
910,000 | Los Angeles Unified School District, 6.76%, due 07/01/34 | 1,271,479 | ||||||||
1,150,000 | New Jersey Economic Development Authority, 2.46%, due 02/15/19‡‡ | 1,048,869 | ||||||||
2,049,000 | New Jersey Economic Development Authority, 3.12%, due 02/15/20‡‡ | 1,775,561 | ||||||||
925,000 | New Jersey State Turnpike Authority, 7.10%, due 01/01/41 | 1,354,959 | ||||||||
3,400,000 | State of California General Obligation, 7.30%, due 10/01/39 | 5,081,504 | ||||||||
335,000 | State of California General Obligation, 7.50%, due 04/01/34 | 501,331 | ||||||||
1,000,000 | State of California General Obligation, 7.55%, due 04/01/39 | 1,568,080 | ||||||||
350,000 | State of California General Obligation, 7.63%, due 03/01/40 | 545,885 | ||||||||
1,600,000 | State of Illinois General Obligation, 5.37%, due 03/01/17 | 1,717,840 | ||||||||
2,325,000 | State of Illinois General Obligation, 5.67%, due 03/01/18 | 2,552,501 | ||||||||
1,000,000 | State of Kentucky Property & Building Commission, 4.30%, due 11/01/19 | 1,087,750 | ||||||||
|
| |||||||||
24,410,305 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 0.5% |
| |||||||||
680,000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 763,300 | ||||||||
912,000 | Hungary Government International Bond, 5.75%, due 11/22/23 | 1,053,360 |
96 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
720,000 | Indonesia Government International Bond, 5.88%, due 01/15/24 144A | 834,300 | ||||||||
200,000 | Panama Government International Bond, 3.75%, due 03/16/25 | 206,000 | ||||||||
200,000 | Panama Government International Bond, 4.00%, due 09/22/24 | 210,500 | ||||||||
150,000 | Romanian Government International Bond, Reg S, 6.13%, due 01/22/44‡‡‡ | 191,130 | ||||||||
650,000 | Spain Government International Bond, 4.00%, due 03/06/18 144A | 696,280 | ||||||||
100,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 115,750 | ||||||||
300,000 | Turkey Government International Bond, 7.00%, due 06/05/20 | 347,250 | ||||||||
|
| |||||||||
4,417,870 | ||||||||||
|
| |||||||||
U.S. Government and Agency Obligations — 8.7% |
| |||||||||
2,300,000 | FNMA, 1.91%, due 10/09/19‡‡ | 2,115,869 | ||||||||
875,000 | FNMA, 2.63%, due 09/06/24 | 907,715 | ||||||||
1,235,000 | FNMA, 6.63%, due 11/15/30 | 1,861,845 | ||||||||
190,000 | Tennessee Valley Authority, 5.25%, due 09/15/39 | 249,730 | ||||||||
1,235,000 | U.S. Treasury Bond, 2.50%, due 02/15/45 | 1,223,808 | ||||||||
400,000 | U.S. Treasury Bond, 2.88%, due 05/15/43 | 426,250 | ||||||||
4,250,000 | U.S. Treasury Bond, 3.00%, due 11/15/44 | 4,657,401 | ||||||||
9,952,000 | U.S. Treasury Bond, 3.63%, due 08/15/43 | 12,163,215 | ||||||||
1,645,000 | U.S. Treasury Note, 0.63%, due 10/15/16 | 1,649,497 | ||||||||
680,000 | U.S. Treasury Note, 0.63%, due 05/31/17 | 680,106 | ||||||||
5,000 | U.S. Treasury Note, 0.75%, due 03/15/17 | 5,020 | ||||||||
5,250,000 | U.S. Treasury Note, 0.88%, due 01/15/18 | 5,255,744 | ||||||||
10,000 | U.S. Treasury Note, 1.25%, due 11/30/18 | 10,049 | ||||||||
6,300,000 | U.S. Treasury Note, 1.38%, due 03/31/20 | 6,301,474 | ||||||||
12,715,000 | U.S. Treasury Note, 1.63%, due 04/30/19 | 12,926,555 | ||||||||
6,000,000 | U.S. Treasury Note, 1.63%, due 07/31/19 | 6,090,468 | ||||||||
897,000 | U.S. Treasury Note, 1.63%, due 12/31/19 | 908,492 | ||||||||
11,665,000 | U.S. Treasury Note, 1.75%, due 09/30/19 | 11,888,280 | ||||||||
80,000 | U.S. Treasury Note, 1.75%, due 02/28/22 | 80,231 | ||||||||
3,620,000 | U.S. Treasury Note, 1.75%, due 05/15/23 | 3,600,771 | ||||||||
350,000 | U.S. Treasury Note, 2.13%, due 01/31/21 | 361,156 | ||||||||
1,020,000 | U.S. Treasury Note, 2.38%, due 05/31/18 | 1,065,183 | ||||||||
3,665,000 | U.S. Treasury STRIPS, 2.90%, due 08/15/30‡‡ | 2,526,138 | ||||||||
530,000 | U.S. Treasury STRIPS, 3.80%, due 05/15/43‡‡ | 254,159 | ||||||||
530,000 | U.S. Treasury STRIPS, 3.82%, due 02/15/44‡‡ | 249,733 | ||||||||
|
| |||||||||
77,458,889 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $850,508,888) | 873,321,041 | |||||||||
|
| |||||||||
Shares | Description | Value ($) | ||||||||
PREFERRED STOCK — 0.3% | ||||||||||
Diversified Financial Services — 0.3% | ||||||||||
106,600 | Citigroup Capital XIII, 7.88%† | 2,827,032 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCK (COST $2,865,380) | 2,827,032 | |||||||||
|
|
See accompanying Notes to the Financial Statements. | 97 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Notional | Description | Value ($) | ||||||||
OPTIONS PURCHASED — 0.0% | ||||||||||
Call Options — 0.0% | ||||||||||
162,000 | U.S. Treasury Note 2-Year Futures Option with JPMorgan Chase Bank N.A., Strike Price $109.63, Expires 04/24/15 | 17,719 | ||||||||
162,000 | U.S. Treasury Note 2-Year Futures Option with JPMorgan Chase Bank N.A., Strike Price $110.13, Expires 04/24/15 | 1,266 | ||||||||
49,000 | U.S. Treasury Note 10-Year Futures Option with JPMorgan Chase Bank N.A., Strike Price $127.00, Expires 04/24/15 | 99,531 | ||||||||
49,000 | U.S. Treasury Note 10-Year Futures Option with JPMorgan Chase Bank N.A., Strike Price $133.00, Expires 04/24/15 | 1,531 | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED (COST $74,010) | 120,047 | |||||||||
|
| |||||||||
TOTAL OPTIONS PURCHASED (COST $74,010) | 120,047 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 6.0% | ||||||||||
Bank Deposit — 5.5% | ||||||||||
49,457,834 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 49,457,834 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $49,457,834) | 49,457,834 | |||||||||
|
| |||||||||
Securities Lending Collateral — 0.5% | ||||||||||
4,499,360 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 4,499,360 | ||||||||
|
| |||||||||
TOTAL SECURITIES LENDING COLLATERAL (COST $4,499,360) | 4,499,360 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $53,957,194) | 53,957,194 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 104.2% (Cost $907,405,472) | 930,225,314 | |||||||||
Other Assets and Liabilities (net) — (4.2)% | (37,576,502 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 892,648,812 | ||||||||
|
|
98 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Notes to Schedule of Investments: | ||||||
ACES — Alternative Credit Enhancement Securities | ||||||
CLO — Collateralized Loan Obligation | ||||||
FHLMC — Federal Home Loan Mortgage Corporation | ||||||
FNMA — Federal National Mortgage Association | ||||||
GNMA — Government National Mortgage Association | ||||||
IO — Interest Only | ||||||
MTN — Medium Term Note | ||||||
REIT — Real Estate Investment Trust | ||||||
REMIC — Real Estate Mortgage Investment Conduit | ||||||
TBA — To Be Announced | ||||||
# | Year of maturity is greater than 2100. | |||||
¤ | Illiquid security. The total market value of the securities at year end is $3,614,861 which represents 0.4% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $3,864,010. | |||||
*** | Represents an investment of securities lending cash collateral. | |||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $418,994. | |||||
† | Floating rate note. Rate shown is as of March 31, 2015. | |||||
††† | Security is currently in default. | |||||
†††† | When-issued security. | |||||
††††† | Security is perpetual and has no stated maturity date. | |||||
‡ | All or a portion of this security is out on loan. | |||||
‡‡ | Interest rate presented is yield to maturity. | |||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $103,112,412 which represents 11.6% of net assets. |
See accompanying Notes to the Financial Statements. | 99 |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2015
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
96 | U.S. Treasury Note 2-Year | June 2015 | $ | 21,039,000 | $ | 52,331 | ||||||||||||
14 | U.S. Treasury Note 5-Year | June 2015 | 1,682,953 | (18 | ) | |||||||||||||
32 | U.S. Ultra Bond | June 2015 | 5,436,000 | 63,551 | ||||||||||||||
|
| |||||||||||||||||
$ | 115,864 | |||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
30 | U.S. Long Bond | June 2015 | $ | 4,916,250 | $ | (44,587 | ) | |||||||||||
40 | U.S. Treasury Note 10-Year | June 2015 | 5,156,250 | (18,217 | ) | |||||||||||||
8 | U.S. Ultra Bond | June 2015 | 1,359,000 | (44,562 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (107,366 | ) | ||||||||||||||||
|
|
Written Options
Type of Contract | Counterparty | Number of Contracts/ Notional Amount | Premiums Received | Value at March 31, 2015 | ||||||||||||||||
CALL — U.S. Treasury Note 2-Year | JPMorgan Chase Bank N.A. | 162 | $ | 4,687 | $ | (10,125 | ) | |||||||||||||
CALL — U.S. Treasury Note 10-Year | JPMorgan Chase Bank N.A. | 98 | 33,460 | (32,156 | ) | |||||||||||||||
TOTAL | $ | 38,147 | $ | (42,281 | ) | |||||||||||||||
|
|
|
|
Centrally Cleared Interest Rate Swaps
Pay/Receive | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||
Receive | 3-Month USD LIBOR | 1.96% | 10/31/21 | $ | 8,800,000 | $ | (106,603 | ) | ||||||
Receive | 3-Month USD LIBOR | 2.57% | 09/08/24 | 1,600,000 | (80,358 | ) | ||||||||
Pay | Interbank Equilibrium Interest Rate | 6.01% | 08/19/24 | MXN | 25,050,000 | 8,768 | ||||||||
$ | (178,193 | ) | ||||||||||||
|
|
Centrally Cleared Credit Default Swaps (See Note 2(a))
Notional Amount | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||
$ | 17,000,000 | 06/20/20 | $ | 10,341 |
Currency Abbreviations
MXN | Mexican Peso |
100 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Core Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2015
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Debt Obligations | 97.9 | ||||
Options Purchased | 0.0 | ||||
Futures Contracts | 0.0 | ||||
Written Options | 0.0 | ||||
Swaps | 0.0 | ||||
Preferred Stock | 0.3 | ||||
Short-Term Investments | 6.0 | ||||
Other Assets and Liabilities (net) | (4.2 | ) | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 101 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 94.4% | ||||||||||
Corporate Debt — 49.2% | ||||||||||
2,000,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, due 04/01/22 144A | 2,080,000 | ||||||||
1,200,000 | 24 Hour Holdings III LLC, 8.00%, due 06/01/22 144A | 1,026,000 | ||||||||
1,000,000 | AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, due 10/01/21 144A | 1,063,750 | ||||||||
1,000,000 | Alcatel-Lucent USA, Inc., 6.75%, due 11/15/20 144A | 1,070,000 | ||||||||
1,000,000 | Alere, Inc., 6.50%, due 06/15/20 | 1,040,000 | ||||||||
10,540,000 | MXN | America Movil SAB de CV, 7.13%, due 12/09/24 | 686,950 | |||||||
2,400,000 | ArcelorMittal, 6.25%, due 03/01/21 | 2,559,000 | ||||||||
2,000,000 | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 06/30/21 144A | 1,970,000 | ||||||||
1,200,000 | EUR | Avis Budget Finance Plc, 6.00%, due 03/01/21 144A | 1,375,149 | |||||||
600,000 | Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 6.00%, due 10/15/21 | 644,250 | ||||||||
1,300,000 | EUR | Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A | 1,484,160 | |||||||
2,500,000 | Bank of America Corp., Series M, 8.13%† ††††† | 2,709,375 | ||||||||
1,000,000 | Barminco Finance Pty, Ltd., 9.00%, due 06/01/18 144A | 973,750 | ||||||||
1,000,000 | Blackboard, Inc., 7.75%, due 11/15/19 144A | 965,000 | ||||||||
1,500,000 | BMC Software Finance, Inc., 8.13%, due 07/15/21 144A | 1,380,000 | ||||||||
1,000,000 | Bombardier, Inc., 7.50%, due 03/15/25 144A | 989,375 | ||||||||
1,500,000 | BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22 | 1,087,500 | ||||||||
500,000 | Caesars Entertainment Operating Co., Inc., 9.00%, due 02/15/20††† | 372,500 | ||||||||
1,000,000 | Caesars Entertainment Operating Co., Inc., 11.25%, due 06/01/17††† | 730,000 | ||||||||
600,000 | California Resources Corp., 5.50%, due 09/15/21 144A | 535,320 | ||||||||
1,500,000 | California Resources Corp., 6.00%, due 11/15/24 144A | 1,323,750 | ||||||||
500,000 | Calpine Corp., 5.75%, due 01/15/25 | 505,625 | ||||||||
1,000,000 | Calpine Corp., 6.00%, due 01/15/22 144A | 1,075,000 | ||||||||
1,000,000 | Calumet Specialty Products Partners, LP/Calumet Finance Corp., 7.75%, due 04/15/23 144A | 1,016,250 | ||||||||
2,000,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22 | 2,052,500 | ||||||||
1,000,000 | Cemex Finance LLC, 6.00%, due 04/01/24 144A | 1,000,000 | ||||||||
800,000 | Cemex Finance LLC, 9.38%, due 10/12/22 144A | 912,000 | ||||||||
1,500,000 | Centene Corp., 4.75%, due 05/15/22 | 1,558,125 | ||||||||
2,000,000 | CenturyLink, Inc., 6.75%, due 12/01/23 | 2,210,000 | ||||||||
1,200,000 | EUR | CeramTec Group GmbH, 8.25%, due 08/15/21 144A | 1,424,124 | |||||||
1,500,000 | CGG, 6.50%, due 06/01/21 | 1,203,750 | ||||||||
1,100,700 | CHC Helicopter SA, 9.25%, due 10/15/20 | 941,098 | ||||||||
325,000 | CHC Helicopter SA, 9.38%, due 06/01/21 | 199,875 | ||||||||
2,000,000 | Chesapeake Energy Corp., 6.13%, due 02/15/21 | 2,035,000 | ||||||||
2,000,000 | CHS/Community Health Systems, Inc., 6.88%, due 02/01/22 | 2,147,500 | ||||||||
2,500,000 | CIT Group, Inc., 5.00%, due 08/01/23 | 2,568,750 | ||||||||
2,500,000 | Citigroup, Inc., 6.30%† ††††† | 2,559,375 | ||||||||
1,000,000 | Clayton Williams Energy, Inc., 7.75%, due 04/01/19 | 935,000 | ||||||||
200,000 | Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22 | 211,500 | ||||||||
800,000 | Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20 | 846,000 | ||||||||
1,200,000 | Cleopatra Finance, Ltd., 6.25%, due 02/15/22 144A | 1,176,000 | ||||||||
1,000,000 | CONSOL Energy, Inc., 5.88%, due 04/15/22 | 910,000 | ||||||||
900,000 | CONSOL Energy, Inc., 8.00%, due 04/01/23 144A | 887,625 | ||||||||
1,000,000 | Cott Beverages, Inc., 6.75%, due 01/01/20 144A | 1,037,500 | ||||||||
600,000 | Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 6.25%, | 607,500 |
102 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
2,000,000 | CSC Holdings LLC, 6.75%, due 11/15/21 | 2,227,500 | ||||||||
300,000 | CSI Compressco Partners, LP/Compressco Finance, Inc., 7.25%, due 08/15/22 144A | 264,000 | ||||||||
1,500,000 | DaVita HealthCare Partners, Inc., 5.13%, due 07/15/24 | 1,532,812 | ||||||||
300,000 | Digicel Group, Ltd., 7.13%, due 04/01/22 144A | 275,250 | ||||||||
200,000 | Digicel Group, Ltd., 8.25%, due 09/30/20 144A | 201,300 | ||||||||
1,500,000 | Digicel, Ltd., 6.00%, due 04/15/21 144A | 1,428,750 | ||||||||
1,300,000 | DISH DBS Corp., 5.00%, due 03/15/23 | 1,267,240 | ||||||||
500,000 | DISH DBS Corp., 5.13%, due 05/01/20 | 505,000 | ||||||||
200,000 | DISH DBS Corp., 5.88%, due 11/15/24 | 200,750 | ||||||||
1,000,000 | Dole Food Co., Inc., 7.25%, due 05/01/19 144A | 1,017,500 | ||||||||
500,000 | Drill Rigs Holdings, Inc., 6.50%, due 10/01/17 144A | 402,500 | ||||||||
300,000 | E*TRADE Financial Corp., 4.63%, due 09/15/23 | 306,000 | ||||||||
1,000,000 | E*TRADE Financial Corp., 5.38%, due 11/15/22 | 1,057,500 | ||||||||
600,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 492,386 | |||||||
300,000 | EUR | Edcon, Ltd., 9.50%, due 03/01/18 144A | 246,515 | |||||||
1,500,000 | Eldorado Gold Corp., 6.13%, due 12/15/20 144A | 1,466,250 | ||||||||
600,000 | Endo Finance LLC/Endo, Ltd./Endo Finco, Inc., 6.00%, due 02/01/25 144A | 621,000 | ||||||||
2,000,000 | Energy Transfer Equity, LP, 7.50%, due 10/15/20 | 2,250,000 | ||||||||
1,200,000 | Energy XXI Gulf Coast, Inc., 6.88%, due 03/15/24 144A | 420,000 | ||||||||
600,000 | Energy XXI Gulf Coast, Inc., 11.00%, due 03/15/20 144A | 572,250 | ||||||||
800,000 | EnQuest Plc, 7.00%, due 04/15/22 144A | 572,000 | ||||||||
250,000 | EPL Oil & Gas, Inc., 8.25%, due 02/15/18 | 186,250 | ||||||||
500,000 | Equinix, Inc., 4.88%, due 04/01/20 | 518,750 | ||||||||
1,000,000 | Equinix, Inc., 5.38%, due 04/01/23 | 1,043,000 | ||||||||
9,280,000,000 | IDR | European Investment Bank, Reg S, 6.95%, due 02/06/20‡‡‡ | 688,104 | |||||||
8,150,000 | ZAR | European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡ | 679,949 | |||||||
649,000,000 | COP | Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡ | 252,607 | |||||||
500,000 | EUR | Financiere Quick SAS, 4.82%, due 04/15/19† 144A | 496,317 | |||||||
500,000 | EUR | Financiere Quick SAS, 7.57%, due 10/15/19† 144A | 459,135 | |||||||
2,000,000 | First Data Corp., 8.25%, due 01/15/21 144A | 2,150,000 | ||||||||
2,500,000 | First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A | 2,318,750 | ||||||||
1,000,000 | Florida East Coast Holdings Corp., 6.75%, due 05/01/19 144A | 1,010,000 | ||||||||
200,000 | Florida East Coast Holdings Corp., 9.75%, due 05/01/20 144A | 195,500 | ||||||||
2,500,000 | FMG Resources August 2006 Pty, Ltd., 6.88%, due 04/01/22 144A | 1,856,250 | ||||||||
1,300,000 | Frontier Communications Co., Senior Note, 7.88%, due 01/15/27 | 1,329,250 | ||||||||
600,000 | Frontier Communications Corp., 7.63%, due 04/15/24 | 627,750 | ||||||||
400,000 | EUR | Galapagos Holding SA, 7.00%, due 06/15/22 144A | 415,638 | |||||||
1,000,000 | EUR | Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A | 1,109,119 | |||||||
1,000,000 | Gannett Co., Inc., 5.13%, due 07/15/20 | 1,046,250 | ||||||||
1,000,000 | Goodrich Petroleum Corp., 8.00%, due 03/15/18 144A | 1,000,000 | ||||||||
700,000 | Goodrich Petroleum Corp., 8.88%, due 03/15/19 | 332,500 | ||||||||
1,500,000 | Goodyear Tire & Rubber Co. (The), 6.50%, due 03/01/21 | 1,605,000 | ||||||||
800,000 | Grifols Worldwide Operations, Ltd., 5.25%, due 04/01/22 144A | 815,000 | ||||||||
1,200,000 | Halcon Resources Corp., 8.88%, due 05/15/21 | 840,000 | ||||||||
2,000,000 | HCA, Inc., 5.00%, due 03/15/24 | 2,125,000 | ||||||||
1,200,000 | HCA, Inc., 5.88%, due 05/01/23 | 1,299,000 | ||||||||
1,200,000 | Hertz Corp. (The), 6.25%, due 10/15/22 | 1,245,000 | ||||||||
700,000 | Hertz Corp. (The), 6.75%, due 04/15/19 | 726,250 | ||||||||
1,000,000 | EUR | Iglo Foods Bondco Plc, 4.53%, due 06/15/20† 144A | 1,074,000 |
See accompanying Notes to the Financial Statements. | 103 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
1,000,000 | iHeartCommunications, Inc., 9.00%, due 03/01/21 | 961,250 | ||||||||
500,000 | iHeartCommunications, Inc., 9.00%, due 09/15/22 | 480,000 | ||||||||
1,000,000 | IHS, Inc., 5.00%, due 11/01/22 144A | 1,009,400 | ||||||||
100,000 | Ineos Finance Plc, 7.50%, due 05/01/20 144A | 105,875 | ||||||||
900,000 | EUR | INEOS Group Holdings SA, 5.75%, due 02/15/19 144A | 978,518 | |||||||
1,100,000 | EUR | Infor US, Inc., 5.75%, due 05/15/22 144A†††† | 1,190,201 | |||||||
2,500,000 | Intelsat Jackson Holdings SA, 5.50%, due 08/01/23 | 2,368,750 | ||||||||
8,860,000,000 | IDR | Inter-American Development Bank, 7.35%, due 09/12/18 | 669,396 | |||||||
1,500,000 | InterGen NV, 7.00%, due 06/30/23 144A | 1,458,750 | ||||||||
1,200,000 | Jaguar Holding Co. I (9.38% Cash or 10.13% PIK), 9.38%, due 10/15/17 144A | 1,230,000 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A | 1,015,000 | ||||||||
1,000,000 | JBS USA LLC/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A | 1,061,250 | ||||||||
1,000,000 | JPMorgan Chase & Co., 5.00%† ††††† | 987,450 | ||||||||
1,500,000 | JPMorgan Chase & Co., 6.00%† ††††† | 1,526,250 | ||||||||
700,000 | KB Home, 4.75%, due 05/15/19 | 686,000 | ||||||||
1,000,000 | KB Home, 7.50%, due 09/15/22 | 1,030,000 | ||||||||
1,000,000 | Landry’s, Inc., 9.38%, due 05/01/20 144A | 1,077,500 | ||||||||
2,500,000 | Linn Energy LLC/Linn Energy Finance Corp., 6.25%, due 11/01/19 | 1,987,500 | ||||||||
700,000 | Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21 | 675,500 | ||||||||
800,000 | Memorial Resource Development Corp., 5.88%, due 07/01/22 144A | 754,000 | ||||||||
2,000,000 | MGM Resorts International, 6.75%, due 10/01/20 | 2,150,000 | ||||||||
1,000,000 | Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21 | 490,000 | ||||||||
1,200,000 | Millicom International Cellular SA, 6.63%, due 10/15/21 144A | 1,273,500 | ||||||||
1,000,000 | Murray Energy Corp., 8.63%, due 06/15/21 144A | 1,050,000 | ||||||||
3,000,000 | Navient Corp., 5.50%, due 01/15/19 | 3,067,500 | ||||||||
1,200,000 | Netflix, Inc., 5.88%, due 02/15/25 144A | 1,237,500 | ||||||||
1,500,000 | NGL Energy Partners, LP/NGL Energy Finance Corp., 5.13%, due 07/15/19 | 1,477,500 | ||||||||
1,100,000 | NOVA Chemicals Corp., 5.00%, due 05/01/25 144A | 1,152,250 | ||||||||
1,500,000 | NRG Yield Operating LLC, 5.38%, due 08/15/24 144A | 1,567,500 | ||||||||
1,000,000 | Ocean Rig UDW, Inc., 7.25%, due 04/01/19 144A | 585,000 | ||||||||
1,200,000 | Offshore Group Investment, Ltd., 7.13%, due 04/01/23 | 687,000 | ||||||||
400,000 | Offshore Group Investment, Ltd., 7.50%, due 11/01/19 | 230,000 | ||||||||
900,000 | OneMain Financial Holdings, Inc., 7.25%, due 12/15/21 144A | 936,000 | ||||||||
1,500,000 | Owens-Brockway Glass Container, Inc., 5.00%, due 01/15/22 144A | 1,533,600 | ||||||||
200,000 | Peabody Energy Corp., 6.00%, due 11/15/18 | 159,000 | ||||||||
2,000,000 | Peabody Energy Corp., 6.25%, due 11/15/21 | 1,237,500 | ||||||||
100,000 | Penn Virginia Corp., 8.50%, due 05/01/20 | 94,500 | ||||||||
2,300,000 | Petrobras Global Finance BV, 5.38%, due 01/27/21 | 2,097,945 | ||||||||
6,000,000 | MXN | Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡ | 388,926 | |||||||
800,000 | Polymer Group, Inc., 6.88%, due 06/01/19 144A | 767,000 | ||||||||
1,000,000 | Post Holdings, Inc., 6.00%, due 12/15/22 144A | 968,750 | ||||||||
800,000 | Post Holdings, Inc., 6.75%, due 12/01/21 144A | 810,000 | ||||||||
200,000 | Post Holdings, Inc., 7.38%, due 02/15/22 | 207,500 | ||||||||
1,000,000 | EUR | PSPC Escrow Corp., 6.00%, due 02/01/23 144A | 1,127,700 | |||||||
800,000 | Quicksilver Resources, Inc., 17.32%, due 06/21/19††† ‡‡ 144A | 448,000 | ||||||||
600,000 | Radio One, Inc., 9.25%, due 02/15/20 144A | 576,000 | ||||||||
1,000,000 | EUR | Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A | 1,074,000 | |||||||
1,800,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 5.88%, due 03/01/22 | 1,962,000 | ||||||||
300,000 | Regency Energy Partners, LP/Regency Energy Finance Corp., 8.38%, due 06/01/19 144A | 315,750 |
104 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
700,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, | 725,375 | ||||||||
1,500,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 8.25%, | 1,612,500 | ||||||||
400,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 9.00%, | 421,000 | ||||||||
2,800,000 | EUR | Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18 | 3,458,135 | |||||||
1,000,000 | Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21 | 1,011,560 | ||||||||
1,000,000 | Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23 | 1,002,500 | ||||||||
100,000 | Sabine Pass Liquefaction LLC, 5.63%, due 03/01/25 144A | 99,250 | ||||||||
1,200,000 | Samson Investment Co., 9.75%, due 02/15/20 | 336,000 | ||||||||
1,000,000 | Sanchez Energy Corp., 6.13%, due 01/15/23 | 903,750 | ||||||||
900,000 | EUR | SIG Combibloc Holdings SCA, 7.75%, due 02/15/23 144A | 1,024,209 | |||||||
300,000 | Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A | 302,250 | ||||||||
1,500,000 | Sirius XM Radio, Inc., 6.00%, due 07/15/24 144A | 1,578,750 | ||||||||
2,000,000 | Sprint Communications, Inc., 6.00%, due 11/15/22 | 1,907,500 | ||||||||
1,500,000 | Sprint Corp., 7.13%, due 06/15/24 | 1,470,000 | ||||||||
500,000 | Sprint Corp., 7.63%, due 02/15/25 | 500,000 | ||||||||
500,000 | Sprint Corp., 7.88%, due 09/15/23 | 512,500 | ||||||||
300,000 | SRA International, Inc., 11.00%, due 10/01/19 | 319,500 | ||||||||
300,000 | Steel Dynamics, Inc., 5.13%, due 10/01/21 144A | 303,375 | ||||||||
700,000 | Steel Dynamics, Inc., 5.50%, due 10/01/24 144A | 711,375 | ||||||||
300,000 | Stena AB, 7.00%, due 02/01/24 144A | 292,500 | ||||||||
1,000,000 | Stena International SA, 5.75%, due 03/01/24 144A | 955,000 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.13%, due 01/15/22 | 1,035,000 | ||||||||
1,000,000 | T-Mobile USA, Inc., 6.38%, due 03/01/25 | 1,034,400 | ||||||||
1,500,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, | 1,473,750 | ||||||||
1,200,000 | EUR | Telecom Italia Spa, Reg S, 5.38%, due 01/29/19‡‡‡ | 1,464,987 | |||||||
1,000,000 | Tenet Healthcare Corp., 5.00%, due 03/01/19 144A | 995,000 | ||||||||
1,000,000 | Tenet Healthcare Corp., 8.13%, due 04/01/22 | 1,105,000 | ||||||||
1,200,000 | GBP | Tesco Plc, 6.13%, due 02/24/22 | 2,028,777 | |||||||
2,000,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, | 1,260,000 | ||||||||
200,000 | TransDigm, Inc., 6.00%, due 07/15/22 | 201,000 | ||||||||
200,000 | TransDigm, Inc., 6.50%, due 07/15/24 | 202,000 | ||||||||
2,880,000 | ZAR | Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡ | 239,666 | |||||||
800,000 | Triangle USA Petroleum Corp., 6.75%, due 07/15/22 144A | 650,000 | ||||||||
1,000,000 | Ultra Petroleum Corp., 6.13%, due 10/01/24 144A | 862,500 | ||||||||
800,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, | 897,829 | |||||||
900,000 | EUR | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, | 1,053,501 | |||||||
500,000 | Valeant Pharmaceuticals International, Inc., 5.50%, due 03/01/23 144A | 506,250 | ||||||||
1,000,000 | Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A | 1,017,500 | ||||||||
700,000 | Valeant Pharmaceuticals International, Inc., 6.38%, due 10/15/20 144A | 729,750 | ||||||||
500,000 | GBP | Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A | 774,724 | |||||||
1,000,000 | GBP | Virgin Media Secured Finance Plc, 6.00%, due 04/15/21 144A | 1,563,773 | |||||||
100,000 | Visant Corp., 10.00%, due 10/01/17 | 90,000 |
See accompanying Notes to the Financial Statements. | 105 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
Corporate Debt — continued | ||||||||||
600,000 | VRX Escrow Corp., 6.13%, due 04/15/25 144A | 622,500 | ||||||||
1,200,000 | EUR | Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A | 1,301,920 | |||||||
700,000 | EUR | Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A | 803,486 | |||||||
1,500,000 | WMG Acquisition Corp., 5.63%, due 04/15/22 144A | 1,509,375 | ||||||||
300,000 | Ymobile Corp., 8.25%, due 04/01/18 144A | 312,375 | ||||||||
|
| |||||||||
194,963,401 | ||||||||||
|
| |||||||||
Sovereign Debt Obligations — 45.2% | ||||||||||
170,000,000 | CLP | Bonos del Banco Central de Chile en Pesos, 6.00%, due 02/01/16 | 278,776 | |||||||
4,230,000 | BRL | Brazil Letras do Tesouro Nacional, 14.00%, due 01/01/18‡‡ | 940,571 | |||||||
25,145,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/17 | 7,471,821 | |||||||
22,576,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/18 | 6,570,464 | |||||||
8,725,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/21 | 2,413,364 | |||||||
18,353,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/23 | 4,947,294 | |||||||
10,670,000 | BRL | Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/25 | 2,807,586 | |||||||
5,639,500,000 | COP | Colombian TES, 6.00%, due 04/28/28 | 1,899,827 | |||||||
1,270,200,000 | COP | Colombian TES, 7.00%, due 09/11/19 | 514,571 | |||||||
13,720,100,000 | COP | Colombian TES, 7.00%, due 05/04/22 | 5,420,695 | |||||||
3,870,700,000 | COP | Colombian TES, 7.50%, due 08/26/26 | 1,520,218 | |||||||
4,426,000,000 | COP | Colombian TES, 10.00%, due 07/24/24 | 2,050,719 | |||||||
684,400,000 | COP | Colombian TES, 11.00%, due 07/24/20 | 322,644 | |||||||
1,467,800,000 | COP | Colombian TES, 11.25%, due 10/24/18 | 666,665 | |||||||
103,350,000 | HUF | Hungary Government Bond, 3.50%, due 06/24/20 | 387,465 | |||||||
743,000,000 | HUF | Hungary Government Bond, 4.00%, due 04/25/18 | 2,803,563 | |||||||
382,880,000 | HUF | Hungary Government Bond, 5.50%, due 12/20/18 | 1,529,170 | |||||||
244,670,000 | HUF | Hungary Government Bond, 5.50%, due 06/24/25 | 1,042,043 | |||||||
71,730,000 | HUF | Hungary Government Bond, 6.00%, due 11/24/23 | 310,848 | |||||||
731,280,000 | HUF | Hungary Government Bond, 6.50%, due 06/24/19 | 3,045,432 | |||||||
130,060,000 | HUF | Hungary Government Bond, 7.00%, due 06/24/22 | 581,456 | |||||||
46,470,000 | HUF | Hungary Government Bond, 7.75%, due 08/24/15 | 170,470 | |||||||
14,000,000,000 | IDR | Indonesia Treasury Bond, 5.25%, due 05/15/18 | 1,014,707 | |||||||
26,811,000,000 | IDR | Indonesia Treasury Bond, 5.63%, due 05/15/23 | 1,837,297 | |||||||
8,900,000,000 | IDR | Indonesia Treasury Bond, 6.13%, due 05/15/28 | 600,298 | |||||||
15,988,000,000 | IDR | Indonesia Treasury Bond, 6.63%, due 05/15/33 | 1,090,646 | |||||||
3,300,000,000 | IDR | Indonesia Treasury Bond, 7.00%, due 05/15/27 | 242,635 | |||||||
7,888,000,000 | IDR | Indonesia Treasury Bond, 7.88%, due 04/15/19 | 618,673 | |||||||
88,368,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/24 | 7,199,542 | |||||||
213,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 09/15/26 | 17,442 | |||||||
10,956,000,000 | IDR | Indonesia Treasury Bond, 8.38%, due 03/15/34 | 893,374 | |||||||
33,162,000,000 | IDR | Indonesia Treasury Bond, 9.00%, due 03/15/29 | 2,853,735 | |||||||
3,006,000,000 | IDR | Indonesia Treasury Bond, 10.50%, due 08/15/30 | 289,350 | |||||||
645,000,000 | IDR | Indonesia Treasury Bond, 12.80%, due 06/15/21 | 62,788 | |||||||
1,860,000 | MYR | Malaysia Government Bond, 3.17%, due 07/15/16 | 501,766 | |||||||
12,900,000 | MYR | Malaysia Government Bond, 3.26%, due 03/01/18 | 3,468,183 | |||||||
4,078,000 | MYR | Malaysia Government Bond, 3.42%, due 08/15/22 | 1,072,279 | |||||||
120,000 | MYR | Malaysia Government Bond, 3.48%, due 03/15/23 | 31,568 | |||||||
418,000 | MYR | Malaysia Government Bond, 3.49%, due 03/31/20 | 111,824 | |||||||
1,059,000 | MYR | Malaysia Government Bond, 3.58%, due 09/28/18 | 287,279 | |||||||
2,169,000 | MYR | Malaysia Government Bond, 3.84%, due 08/12/15 | 587,433 |
106 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
11,302,000 | MYR | Malaysia Government Bond, 3.89%, due 07/31/20 | 3,079,817 | |||||||
999,000 | MYR | Malaysia Government Bond, 3.89%, due 03/15/27 | 266,323 | |||||||
8,900,000 | MYR | Malaysia Government Bond, 4.01%, due 09/15/17 | 2,441,325 | |||||||
174,000 | MYR | Malaysia Government Bond, 4.16%, due 07/15/21 | 48,038 | |||||||
22,312,000 | MYR | Malaysia Government Bond, 4.18%, due 07/15/24 | 6,143,159 | |||||||
1,950,000 | MYR | Malaysia Government Bond, 4.26%, due 09/15/16 | 534,414 | |||||||
3,721,000 | MYR | Malaysia Government Bond, 4.38%, due 11/29/19 | 1,036,134 | |||||||
1,068,000 | MYR | Malaysia Government Bond, 4.39%, due 04/15/26 | 298,999 | |||||||
8,085,400 | MXN | Mexican Bonos, 6.50%, due 06/10/21 | 558,013 | |||||||
14,540,000 | MXN | Mexican Bonos, 6.50%, due 06/09/22 | 1,000,053 | |||||||
9,000,000 | MXN | Mexican Bonos, 7.25%, due 12/15/16 | 624,504 | |||||||
16,230,000 | MXN | Mexican Bonos, 7.75%, due 05/29/31 | 1,213,360 | |||||||
29,310,000 | MXN | Mexican Bonos, 7.75%, due 11/23/34 | 2,216,572 | |||||||
30,000,000 | MXN | Mexican Bonos, 8.00%, due 12/17/15 | 2,034,203 | |||||||
56,260,000 | MXN | Mexican Bonos, 8.00%, due 06/11/20 | 4,149,149 | |||||||
2,980,000 | MXN | Mexican Bonos, 8.50%, due 05/31/29 | 236,819 | |||||||
17,400,000 | MXN | Mexican Bonos, 10.00%, due 11/20/36 | 1,616,512 | |||||||
116,123,000 | NGN | Nigeria Government Bond, 14.20%, due 03/14/24 | 563,959 | |||||||
18,396,000 | NGN | Nigeria Government Bond, 15.10%, due 04/27/17 | 92,992 | |||||||
160,177,000 | NGN | Nigeria Government Bond, 16.00%, due 06/29/19 | 832,872 | |||||||
107,654,000 | NGN | Nigeria Government Bond, 16.39%, due 01/27/22 | 575,669 | |||||||
6,643,000 | PEN | Peruvian Government International Bond, Reg S, 5.70%, due 08/12/24‡‡‡ | 2,116,069 | |||||||
8,621,000 | PEN | Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡ | 2,867,495 | |||||||
3,400,000 | PEN | Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡ | 1,253,695 | |||||||
4,746,000 | PLN | Poland Government Bond, 3.25%, due 07/25/19 | 1,323,222 | |||||||
10,258,000 | PLN | Poland Government Bond, 3.25%, due 07/25/25 | 2,942,833 | |||||||
3,266,000 | PLN | Poland Government Bond, 4.00%, due 10/25/23 | 983,235 | |||||||
7,643,000 | PLN | Poland Government Bond, 5.25%, due 10/25/20 | 2,362,633 | |||||||
8,917,000 | PLN | Poland Government Bond, 5.50%, due 10/25/19 | 2,724,879 | |||||||
993,000 | PLN | Poland Government Bond, 5.75%, due 10/25/21 | 321,411 | |||||||
2,255,000 | RON | Romania Government Bond, 4.75%, due 06/24/19 | 603,546 | |||||||
6,920,000 | RON | Romania Government Bond, 4.75%, due 02/24/25 | 1,902,903 | |||||||
2,530,000 | RON | Romania Government Bond, 5.75%, due 04/29/20 | 710,353 | |||||||
1,520,000 | RON | Romania Government Bond, 5.85%, due 04/26/23 | 442,407 | |||||||
33,000,000 | RUB | Russian Federal Bond - OFZ, 5.50%, due 08/08/18†† | 478,304 | |||||||
182,000,000 | RUB | Russian Federal Bond - OFZ, 6.20%, due 01/31/18 | 2,720,893 | |||||||
7,560,000 | RUB | Russian Federal Bond - OFZ, 6.90%, due 08/03/16 | 122,471 | |||||||
5,500,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 01/25/23 | 72,384 | |||||||
145,455,000 | RUB | Russian Federal Bond - OFZ, 7.00%, due 08/16/23 | 1,908,046 | |||||||
10,000,000 | RUB | Russian Federal Bond - OFZ, 7.35%, due 01/20/16 | 166,531 | |||||||
21,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 04/19/17 | 333,097 | |||||||
206,000,000 | RUB | Russian Federal Bond - OFZ, 7.40%, due 06/14/17 | 3,251,573 | |||||||
47,000,000 | RUB | Russian Federal Bond - OFZ, 7.50%, due 02/27/19 | 702,648 | |||||||
44,000 | RUB | Russian Federal Bond - OFZ, 8.15%, due 02/03/27 | 592 | |||||||
20,000,000 | RUB | Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡ | 310,182 | |||||||
8,112,000 | SGD | Singapore Government Bond, 3.00%, due 09/01/24 | 6,277,897 | |||||||
1,280,000 | SGD | Singapore Government Bond, 3.38%, due 09/01/33 | 1,015,975 | |||||||
2,702,500 | ZAR | South Africa Government Bond, 6.50%, due 02/28/41 | 179,687 | |||||||
10,434,700 | ZAR | South Africa Government Bond, 6.75%, due 03/31/21 | 836,014 | |||||||
97,576,000 | ZAR | South Africa Government Bond, 7.25%, due 01/15/20 | 8,050,063 |
See accompanying Notes to the Financial Statements. | 107 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
Sovereign Debt Obligations — continued | ||||||||||
12,116,632 | ZAR | South Africa Government Bond, 8.00%, due 12/21/18 | 1,030,852 | |||||||
30,637,612 | ZAR | South Africa Government Bond, 8.00%, due 01/31/30 | 2,496,145 | |||||||
1,071,000 | ZAR | South Africa Government Bond, 8.25%, due 09/15/17 | 91,161 | |||||||
1,147,204 | ZAR | South Africa Government Bond, 8.25%, due 03/31/32 | 93,266 | |||||||
31,795,324 | ZAR | South Africa Government Bond, 8.50%, due 01/31/37 | 2,655,443 | |||||||
11,613,508 | ZAR | South Africa Government Bond, 8.75%, due 02/28/48 | 996,560 | |||||||
5,200,000 | ZAR | South Africa Government Bond, 10.50%, due 12/21/26 | 519,560 | |||||||
3,000,000 | ZAR | South Africa Government Bond, 13.50%, due 09/15/15 | 255,519 | |||||||
3,000,000 | ZAR | South Africa Government Bond, 13.50%, due 09/15/16 | 271,426 | |||||||
129,178,000 | THB | Thailand Government Bond, 3.63%, due 06/16/23 | 4,275,355 | |||||||
67,209,000 | THB | Thailand Government Bond, 3.65%, due 12/17/21 | 2,218,994 | |||||||
39,856,000 | THB | Thailand Government Bond, 3.88%, due 06/13/19 | 1,308,736 | |||||||
12,425,000 | THB | Thailand Government Bond, 4.88%, due 06/22/29 | 466,411 | |||||||
17,888,464 | THB | Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡ | 499,574 | |||||||
3,740,272 | TRY | Turkey Government Bond, 8.30%, due 10/07/15 | 1,439,785 | |||||||
1,685,000 | TRY | Turkey Government Bond, 8.30%, due 06/20/18 | 649,924 | |||||||
2,450,000 | TRY | Turkey Government Bond, 8.50%, due 07/10/19 | 952,542 | |||||||
1,710,885 | TRY | Turkey Government Bond, 8.50%, due 09/14/22 | 666,497 | |||||||
1,343,286 | TRY | Turkey Government Bond, 8.80%, due 11/14/18 | 525,881 | |||||||
19,014,000 | TRY | Turkey Government Bond, 9.00%, due 03/08/17 | 7,445,594 | |||||||
3,064,674 | TRY | Turkey Government Bond, 9.00%, due 07/24/24 | 1,234,014 | |||||||
250,000 | TRY | Turkey Government Bond, 10.00%, due 06/17/15 | 96,553 | |||||||
504,000 | TRY | Turkey Government Bond, 10.40%, due 03/27/19 | 207,986 | |||||||
3,500,000 | TRY | Turkey Government Bond, 10.50%, due 01/15/20 | 1,473,330 | |||||||
|
| |||||||||
178,891,513 | ||||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $414,440,919) | 373,854,914 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.5% | ||||||||||
Bank Deposit — 3.5% | ||||||||||
13,822,803 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 13,822,803 | ||||||||
|
| |||||||||
TOTAL BANK DEPOSITS (COST $13,822,803) | 13,822,803 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 97.9% (Cost $428,263,722) | 387,677,717 | |||||||||
Other Assets and Liabilities (net) — 2.1% | 8,261,427 | |||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 395,939,144 | ||||||||
|
|
108 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Notes to Schedule of Investments: | ||||||
PIK — Payment In Kind | ||||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||
† | Floating rate note. Rate shown is as of March 31, 2015. | |||||
†† | Debt obligation initially issued in zero coupon form which converts to coupon form at a specific rate and date. The rate shown is the rate at period end. | |||||
††† | Security is currently in default. | |||||
†††† | When-issued security. | |||||
††††† | Security is perpetual and has no stated maturity date. | |||||
‡‡ | Interest rate presented is yield to maturity. | |||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $93,155,649 which represents 23.5% of net assets. |
See accompanying Notes to the Financial Statements. | 109 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2015
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
05/05/15 | BRL | Citibank N.A. | 1,244,000 | $ | 387,436 | $ | (42,716 | ) | ||||||||||||
06/02/15 | BRL | Citibank N.A. | 11,516,000 | 3,553,882 | (176,906 | ) | ||||||||||||||
05/05/15 | BRL | Goldman Sachs | 16,033,000 | 4,993,374 | (536,610 | ) | ||||||||||||||
06/02/15 | BRL | Standard Chartered Bank | 4,045,000 | 1,248,303 | (129,188 | ) | ||||||||||||||
06/17/15 | CLP | Goldman Sachs | 6,126,259,000 | 9,740,764 | (68,508 | ) | ||||||||||||||
04/15/15 | CNY | Citibank N.A. | 33,598,000 | 5,410,666 | (7,754 | ) | ||||||||||||||
06/17/15 | CNY | Citibank N.A. | 2,324,000 | 371,730 | (3,714 | ) | ||||||||||||||
06/17/15 | CNY | Goldman Sachs | 41,096,000 | 6,573,414 | (5,630 | ) | ||||||||||||||
04/15/15 | COP | Citibank N.A. | 8,611,402,000 | 3,316,452 | (174,893 | ) | ||||||||||||||
06/17/15 | EUR | Citibank N.A. | 5,938,620 | 6,386,214 | (240,357 | ) | ||||||||||||||
05/07/15 | EUR | Deutsche Bank AG | 2,444,350 | 2,627,049 | (181,349 | ) | ||||||||||||||
08/27/15 | EUR | Deutsche Bank AG | 2,716,610 | 2,924,783 | (168,816 | ) | ||||||||||||||
06/17/15 | EUR | Goldman Sachs | 2,036,380 | 2,189,861 | (71,947 | ) | ||||||||||||||
05/07/15 | EUR | JPMorgan Chase Bank | 100,000 | 107,474 | (24,446 | ) | ||||||||||||||
06/17/15 | EUR | Standard Chartered Bank | 4,041,000 | 4,345,570 | (64,636 | ) | ||||||||||||||
05/07/15 | GBP | Deutsche Bank AG | 309,578 | 459,556 | (34,241 | ) | ||||||||||||||
06/18/15 | GBP | Deutsche Bank AG | 222,000 | 329,453 | (17,933 | ) | ||||||||||||||
08/27/15 | GBP | Deutsche Bank AG | 1,315,000 | 1,950,735 | (48,420 | ) | ||||||||||||||
09/17/15 | GBP | Deutsche Bank AG | 1,143,258 | 1,695,780 | (30,040 | ) | ||||||||||||||
06/17/15 | HUF | Citibank N.A. | 269,130,000 | 961,292 | (21,434 | ) | ||||||||||||||
06/17/15 | IDR | Standard Chartered Bank | 106,309,154,000 | 7,984,015 | 26,743 | |||||||||||||||
06/17/15 | INR | Citibank N.A. | 258,632,000 | 4,070,003 | (1,018 | ) | ||||||||||||||
06/17/15 | INR | Standard Chartered Bank | 237,070,000 | 3,730,689 | (20,715 | ) | ||||||||||||||
04/16/15 | KRW | Standard Chartered Bank | 5,625,000,000 | 5,067,754 | 63,305 | |||||||||||||||
06/17/15 | MXN | Goldman Sachs | 14,060,000 | 917,660 | (7,400 | ) | ||||||||||||||
06/17/15 | MXN | Standard Chartered Bank | 177,265,000 | 11,569,636 | (198,995 | ) | ||||||||||||||
06/17/15 | MYR | Citibank N.A. | 17,215,733 | 4,618,109 | (60,023 | ) | ||||||||||||||
06/17/15 | PHP | Citibank N.A. | 378,771,000 | 8,435,911 | (99,579 | ) | ||||||||||||||
06/17/15 | PHP | Goldman Sachs | 35,260,000 | 785,303 | (11,803 | ) | ||||||||||||||
06/17/15 | PLN | Citibank N.A. | 33,678,176 | 8,851,951 | (143,290 | ) | ||||||||||||||
06/17/15 | PLN | Goldman Sachs | 7,298,354 | 1,918,295 | 19,686 | |||||||||||||||
06/17/15 | RON | Citibank N.A. | 1,830,000 | 444,768 | 3,674 | |||||||||||||||
06/17/15 | RON | Goldman Sachs | 8,771,000 | 2,131,727 | 4,753 | |||||||||||||||
04/15/15 | RUB | Citibank N.A. | 56,800,000 | 970,367 | 90,651 | |||||||||||||||
04/15/15 | RUB | Goldman Sachs | 41,885,000 | 715,561 | 38,155 | |||||||||||||||
05/20/15 | RUB | Goldman Sachs | 114,957,000 | 1,935,046 | 31,573 | |||||||||||||||
06/17/15 | SGD | Goldman Sachs | 548,000 | 398,615 | 4,993 | |||||||||||||||
06/17/15 | TRY | Citibank N.A. | 32,616,000 | 12,304,659 | (215,460 | ) | ||||||||||||||
06/17/15 | TRY | Goldman Sachs | 850,000 | 320,670 | 4,424 | |||||||||||||||
06/17/15 | TWD | Goldman Sachs | 200,220,000 | 6,400,435 | (23,732 | ) | ||||||||||||||
06/17/15 | ZAR | Citibank N.A. | 10,896,000 | 886,387 | (12,214 | ) | ||||||||||||||
06/17/15 | ZAR | Goldman Sachs | 43,720,000 | 3,556,611 | (30,229 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,586,039 | ) | ||||||||||||||||||
|
|
110 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2015
Forward Foreign Currency Contracts — continued
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Sales | ||||||||||||||||||||
05/05/15 | BRL | Citibank N.A. | 51,059,400 | $ | 15,902,119 | $ | 3,105,922 | |||||||||||||
05/05/15 | BRL | Goldman Sachs | 1,224,000 | 381,207 | 82,166 | |||||||||||||||
06/17/15 | CNY | Goldman Sachs | 3,912,000 | 625,735 | 1,238 | |||||||||||||||
06/17/15 | COP | Citibank N.A. | 5,368,621,000 | 2,052,682 | 56,796 | |||||||||||||||
04/15/15 | COP | Goldman Sachs | 11,034,281,000 | 4,249,559 | 334,687 | |||||||||||||||
06/17/15 | COP | Goldman Sachs | 5,503,831,000 | 2,104,379 | 40,527 | |||||||||||||||
06/17/15 | CZK | Citibank N.A. | 16,359,232 | 637,962 | 317 | |||||||||||||||
06/17/15 | CZK | Goldman Sachs | 1,378,498 | 53,757 | 1,760 | |||||||||||||||
06/18/15 | EUR | Barclays Bank Plc | 300,000 | 322,616 | 46,624 | |||||||||||||||
06/17/15 | EUR | Citibank N.A. | 7,072,000 | 7,605,016 | 227,873 | |||||||||||||||
05/07/15 | EUR | Deutsche Bank AG | 2,444,350 | 2,627,049 | 332,952 | |||||||||||||||
08/27/15 | EUR | Deutsche Bank AG | 1,013,390 | 1,091,046 | 63,907 | |||||||||||||||
09/17/15 | EUR | Deutsche Bank AG | 154,520 | 166,420 | 9,239 | |||||||||||||||
06/17/15 | EUR | Goldman Sachs | 2,240,000 | 2,408,829 | 54,057 | |||||||||||||||
09/17/15 | GBP | Deutsche Bank AG | 1,009,193 | 1,496,923 | 41,088 | |||||||||||||||
06/17/15 | HUF | Citibank N.A. | 56,481,000 | 201,742 | 5,202 | |||||||||||||||
06/17/15 | HUF | Goldman Sachs | 277,420,000 | 990,902 | 31,784 | |||||||||||||||
06/17/15 | IDR | Standard Chartered Bank | 13,400,000,000 | 1,006,365 | (2,244 | ) | ||||||||||||||
06/17/15 | ILS | Citibank N.A. | 38,600,000 | 9,707,212 | 82,118 | |||||||||||||||
04/16/15 | KRW | Citibank N.A. | 5,088,764,000 | 4,584,641 | 86,736 | |||||||||||||||
06/17/15 | KRW | Citibank N.A. | 643,000,000 | 578,172 | 4,968 | |||||||||||||||
06/17/15 | KRW | Goldman Sachs | 5,386,512,000 | 4,843,441 | 8,180 | |||||||||||||||
06/17/15 | MXN | Goldman Sachs | 10,680,000 | 697,056 | (12,081 | ) | ||||||||||||||
06/17/15 | MXN | Standard Chartered Bank | 51,505,000 | 3,361,600 | 36,118 | |||||||||||||||
06/17/15 | MYR | Citibank N.A. | 2,489,000 | 667,673 | 15,181 | |||||||||||||||
06/17/15 | MYR | Goldman Sachs | 16,840,000 | 4,517,319 | 55,661 | |||||||||||||||
12/04/15 | NGN | Citibank N.A. | 70,656,522 | 322,881 | 4,933 | |||||||||||||||
06/17/15 | PEN | Citibank N.A. | 4,540,000 | 1,446,628 | 3,851 | |||||||||||||||
06/17/15 | PEN | Goldman Sachs | 2,930,000 | 933,617 | (496 | ) | ||||||||||||||
06/17/15 | PEN | Standard Chartered Bank | 30,109,100 | 9,593,981 | (19,427 | ) | ||||||||||||||
06/17/15 | PHP | Goldman Sachs | 17,651,000 | 393,119 | 3,265 | |||||||||||||||
06/17/15 | PLN | Goldman Sachs | 4,040,000 | 1,061,871 | (17,690 | ) | ||||||||||||||
06/17/15 | RON | Goldman Sachs | 15,232,000 | 3,702,025 | 54,743 | |||||||||||||||
04/15/15 | RUB | Citibank N.A. | 66,482,000 | 1,135,774 | 54,593 | |||||||||||||||
05/20/15 | RUB | Citibank N.A. | 11,185,000 | 188,275 | (291 | ) | ||||||||||||||
06/17/15 | SGD | Citibank N.A. | 730,000 | 531,002 | 1,117 | |||||||||||||||
06/17/15 | SGD | Standard Chartered Bank | 22,790,000 | 16,577,439 | 75,223 | |||||||||||||||
06/17/15 | THB | Citibank N.A. | 109,402,000 | 3,351,520 | 11,591 | |||||||||||||||
06/17/15 | TRY | Citibank N.A. | 6,942,000 | 2,618,928 | 54,826 | |||||||||||||||
06/17/15 | TRY | Goldman Sachs | 4,070,000 | 1,535,442 | 1,209 | |||||||||||||||
04/15/15 | TWD | Citibank N.A. | 371,076,000 | 11,859,533 | (250,711 | ) | ||||||||||||||
04/15/15 | TWD | Standard Chartered Bank | 14,000,000 | 447,438 | (2,852 | ) | ||||||||||||||
06/17/15 | ZAR | Citibank N.A. | 44,800,000 | 3,644,469 | 3,442 | |||||||||||||||
06/17/15 | ZAR | Goldman Sachs | 53,220,000 | 4,329,434 | (20,594 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 4,667,508 | |||||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 111 |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2015
Currency Abbreviations
BRL | Brazilian Real |
CLP | Chilean Peso |
CNY | Chinese Yuan |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NGN | Nigeria Naira |
PEN | Peruvian Nouveau Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
RON | New Romanian Leu |
RUB | Russian Ruble |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | New Turkish Lira |
TWD | Taiwan Dollar |
ZAR | South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
395 | South Africa Government Bond, Series R2037 | May 2015 | $ | 3,365,078 | $ | (227,496 | ) | |||||||||||
584 | South Africa Government Bond, Series R208 | May 2015 | 4,707,518 | (167,962 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (395,458 | ) | ||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
61 | Korea 3-Year Bond | June 2015 | $ | 6,020,001 | $ | (28,316 | ) | |||||||||||
23 | Korea 10-Year Bond | June 2015 | 2,599,459 | (40,114 | ) | |||||||||||||
|
| |||||||||||||||||
$ | (68,430 | ) | ||||||||||||||||
|
|
112 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Schedule of Investments (Continued)
March 31, 2015
Asset Class Summary (Unaudited) | % of Net Assets | ||||
Corporate Debt | 49.2 | ||||
Sovereign Debt Obligations | 45.2 | ||||
Forward Foreign Currency Contracts | 0.5 | ||||
Futures Contracts | (0.1 | ) | |||
Short-Term Investments | 3.5 | ||||
Other Assets and Liabilities (net) | 1.7 | ||||
|
| ||||
100.0 | % | ||||
|
|
See accompanying Notes to the Financial Statements. | 113 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 89.6% | ||||||||||
Bermuda — 0.3% | ||||||||||
178,119 | Cosan, Ltd. Class A | 1,127,493 | ||||||||
5,700 | Credicorp, Ltd. | 801,591 | ||||||||
10,136,000 | GOME Electrical Appliances Holding, Ltd.‡ | 1,477,313 | ||||||||
|
| |||||||||
Total Bermuda | 3,406,397 | |||||||||
|
| |||||||||
Brazil — 6.3% | ||||||||||
1,908,899 | AMBEV SA, ADR | 10,995,258 | ||||||||
727,100 | AMBEV SA | 4,197,301 | ||||||||
247,300 | Arteris SA | 580,317 | ||||||||
743,675 | Banco Bradesco SA, ADR | 6,901,302 | ||||||||
398,800 | Banco do Brasil SA | 2,858,643 | ||||||||
270,988 | BB Seguridade Participacoes SA | 2,781,016 | ||||||||
446,969 | BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros | 1,560,706 | ||||||||
147,500 | BR Malls Participacoes SA | 781,781 | ||||||||
72,000 | BRF SA | 1,425,988 | ||||||||
134,832 | CCR SA | 687,639 | ||||||||
192,400 | Centrais Eletricas Brasileiras SA | 346,743 | ||||||||
46,710 | CETIP SA - Mercados Organizados | 465,478 | ||||||||
35,800 | Cia Brasileira de Distribuicao, ADR | 1,067,556 | ||||||||
342,103 | Cielo SA | 4,890,550 | ||||||||
207,592 | Companhia Energetica de Minas Gerais, Sponsored ADR‡ | 849,051 | ||||||||
300,000 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1,243,703 | ||||||||
353,900 | EcoRodovias Infraestrutura e Logistica SA | 995,451 | ||||||||
86,900 | Estacio Participacoes SA | 504,091 | ||||||||
29,400 | Fibria Celulose SA, Sponsored ADR* ‡ | 415,422 | ||||||||
914,542 | Itau Unibanco Holding SA, ADR | 10,114,834 | ||||||||
3,573 | Itausa - Investimentos Itau SA* **** | 11,157 | ||||||||
671,400 | JBS SA | 2,982,973 | ||||||||
38,300 | Lojas Renner SA | 1,087,849 | ||||||||
79,800 | Petroleo Brasileiro SA, ADR | 485,982 | ||||||||
195,900 | Porto Seguro SA | 2,191,241 | ||||||||
193,600 | Qualicorp SA* | 1,381,083 | ||||||||
83,800 | Raia Drogasil SA | 750,925 | ||||||||
250,886 | Souza Cruz SA | 1,993,838 | ||||||||
261,400 | Tim Participacoes SA | 870,216 | ||||||||
57,261 | Ultrapar Participacoes SA | 1,161,488 | ||||||||
349,700 | Vale SA, ADR | 1,696,045 | ||||||||
|
| |||||||||
Total Brazil | 68,275,627 | |||||||||
|
| |||||||||
Cayman Islands — 5.1% | ||||||||||
16,876 | Alibaba Group Holding, Ltd., Sponsored ADR* | 1,404,758 | ||||||||
176,000 | ANTA Sports Products, Ltd. | 321,443 | ||||||||
9,402 | Autohome, Inc., ADR* ‡ | 413,406 | ||||||||
21,648 | Baidu, Inc., Sponsored ADR* | 4,511,443 | ||||||||
632,000 | Belle International Holdings, Ltd. | 736,092 | ||||||||
9,149 | Bitauto Holdings, Ltd., ADR* | 465,501 | ||||||||
116,000 | China Medical System Holdings, Ltd. | 178,645 |
114 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Cayman Islands — continued | ||||||||||
2,964,000 | China Resources Cement Holdings, Ltd. | 1,674,479 | ||||||||
364,000 | China Resources Land, Ltd. | 1,030,536 | ||||||||
255,000 | Country Garden Holdings Co., Ltd. | 102,947 | ||||||||
7,587,000 | Evergrande Real Estate Group, Ltd.‡ | 3,816,472 | ||||||||
722,000 | Jintian Pharmaceutical Group, Ltd. | 277,511 | ||||||||
38,126 | NetEase, Inc., ADR | 4,014,668 | ||||||||
644,565 | Sands China, Ltd. | 2,672,853 | ||||||||
1,828,000 | Semiconductor Manufacturing International Corp.* | 176,834 | ||||||||
586,000 | Shimao Property Holdings, Ltd. | 1,232,005 | ||||||||
5,891 | Silicon Motion Technology Corp., ADR | 158,350 | ||||||||
3,416,000 | Sino Biopharmaceutical, Ltd. | 3,471,934 | ||||||||
1,999,500 | SOHO China, Ltd. | 1,359,125 | ||||||||
2,945,000 | Sunac China Holdings, Ltd. | 2,556,394 | ||||||||
969,800 | Tencent Holdings, Ltd. | 18,425,206 | ||||||||
35,040 | Vipshop Holdings, Ltd., ADR* | 1,031,578 | ||||||||
3,664,000 | WH Group, Ltd.* 144A | 2,088,840 | ||||||||
75,198 | WuXi PharmaTech Cayman, Inc., ADR* | 2,916,178 | ||||||||
|
| |||||||||
Total Cayman Islands | 55,037,198 | |||||||||
|
| |||||||||
Chile — 1.0% | ||||||||||
34,249,241 | Banco de Chile | 3,840,266 | ||||||||
1,077 | Banco de Credito e Inversiones | 48,028 | ||||||||
61,700 | Banco Santander Chile, ADR | 1,337,656 | ||||||||
57,207,902 | Banco Santander Chile | 3,120,097 | ||||||||
145,300 | Enersis SA, Sponsored ADR | 2,362,578 | ||||||||
26,931 | ENTEL Chile SA | 273,933 | ||||||||
34,300 | Latam Airlines Group SA, Sponsored ADR* ‡ | 276,458 | ||||||||
|
| |||||||||
Total Chile | 11,259,016 | |||||||||
|
| |||||||||
China — 11.4% | ||||||||||
6,286,000 | Agricultural Bank of China, Ltd. Class H | 3,105,279 | ||||||||
1,572,000 | Air China, Ltd. Class H | 1,603,823 | ||||||||
34,917,000 | Bank of China, Ltd. Class H | 20,131,302 | ||||||||
960,000 | Bank of Communications Co., Ltd. Class H | 823,418 | ||||||||
1,896,000 | China CITIC Bank Corp., Ltd. Class H | 1,425,720 | ||||||||
1,652,000 | China Communications Construction Co., Ltd. Class H | 2,322,544 | ||||||||
16,174,000 | China Construction Bank Corp. Class H | 13,413,923 | ||||||||
654,000 | China Everbright Bank Co., Ltd. Class H | 361,035 | ||||||||
1,542,500 | China Galaxy Securities Co., Ltd. Class H | 1,758,753 | ||||||||
919,000 | China Life Insurance Co., Ltd. Class H | 4,018,302 | ||||||||
121,500 | China Merchants Bank Co., Ltd. Class H | 296,500 | ||||||||
2,022,100 | China Minsheng Banking Corp., Ltd. Class H | 2,467,296 | ||||||||
17,230 | China Petroleum & Chemical Corp., ADR | 1,373,059 | ||||||||
2,128,000 | China Petroleum & Chemical Corp. Class H | 1,693,496 | ||||||||
1,238,500 | China Railway Construction Corp. Class H | 1,846,636 | ||||||||
601,000 | China Railway Group, Ltd. Class H | 614,717 | ||||||||
913,000 | China Shenhua Energy Co., Ltd. Class H | 2,329,295 | ||||||||
6,116,000 | China Telecom Corp., Ltd. Class H | 3,920,589 | ||||||||
138,000 | China Vanke Co., Ltd. Class H* ‡ | 325,374 |
See accompanying Notes to the Financial Statements. | 115 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
China — continued | ||||||||||
1,046,000 | Datang International Power Generation Co., Ltd. Class H | 538,309 | ||||||||
3,124,000 | Dongfeng Motor Group Co., Ltd. Class H | 5,004,492 | ||||||||
367,000 | Great Wall Motor Co., Ltd. Class H | 2,594,024 | ||||||||
1,876,400 | Guangzhou R&F Properties Co., Ltd. Class H‡ | 1,926,486 | ||||||||
4,580,000 | Huaneng Power International, Inc. Class H | 5,411,135 | ||||||||
25,666,000 | Industrial & Commercial Bank of China Class H | 18,902,607 | ||||||||
1,918,000 | Jiangsu Expressway Co., Ltd. Class H | 2,597,558 | ||||||||
1,285,000 | Jiangxi Copper Co., Ltd. Class H | 2,383,359 | ||||||||
608,000 | PetroChina Co., Ltd. Class H | 672,066 | ||||||||
3,200 | PetroChina Co., Ltd., ADR | 355,872 | ||||||||
1,780,760 | PICC Property & Casualty Co., Ltd. Class H | 3,514,182 | ||||||||
468,500 | Ping An Insurance Group Co. Class H | 5,646,981 | ||||||||
1,199,500 | Sinopec Engineering Group Co., Ltd. Class H | 1,041,221 | ||||||||
7,324,000 | Sinopec Shanghai Petrochemical Co., Ltd. Class H | 2,720,622 | ||||||||
192,800 | Sinopharm Group Co., Ltd. Class H | 785,817 | ||||||||
2,564,000 | Sinotrans, Ltd. Class H | 1,465,039 | ||||||||
83,012 | Tsingtao Brewery Co., Ltd. Class H‡ | 555,159 | ||||||||
2,664,000 | Zhejiang Expressway Co., Ltd. Class H | 3,552,893 | ||||||||
|
| |||||||||
Total China | 123,498,883 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
1,573,897 | Ecopetrol SA | 1,196,603 | ||||||||
|
| |||||||||
Czech Republic — 0.5% | ||||||||||
85,892 | CEZ AS | 2,100,654 | ||||||||
13,105 | Komercni Banka AS | 2,829,665 | ||||||||
|
| |||||||||
Total Czech Republic | 4,930,319 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
16,330 | Carlsberg AS Class B | 1,347,530 | ||||||||
|
| |||||||||
Hong Kong — 4.8% | ||||||||||
645,000 | AIA Group, Ltd. | 4,055,662 | ||||||||
181,600 | China Mobile, Ltd., Sponsored ADR | 11,809,448 | ||||||||
427,500 | China Mobile, Ltd. | 5,569,099 | ||||||||
1,466,000 | China Overseas Land & Investment, Ltd. | 4,708,263 | ||||||||
1,288,000 | China Resources Power Holdings Co., Ltd. | 3,229,532 | ||||||||
228,800 | China Taiping Insurance Holdings Co., Ltd.* | 783,516 | ||||||||
714,000 | China Unicom Hong Kong, Ltd. | 1,086,695 | ||||||||
8,700 | CNOOC, Ltd., Sponsored ADR‡ | 1,233,834 | ||||||||
4,500,000 | CNOOC, Ltd. | 6,349,759 | ||||||||
1,624,000 | Far East Horizon, Ltd. | 1,485,114 | ||||||||
321,836 | Galaxy Entertainment Group, Ltd. | 1,461,183 | ||||||||
354,000 | Guangdong Investment, Ltd. | 465,726 | ||||||||
2,988,000 | Lenovo Group, Ltd. | 4,354,983 | ||||||||
213,155 | Link (The) REIT | 1,310,044 | ||||||||
388,883 | Power Assets Holdings, Ltd. | 3,960,030 | ||||||||
58,000 | Shanghai Industrial Holdings, Ltd. | 178,420 |
116 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Hong Kong — continued | ||||||||||
184,000 | Sino-Ocean Land Holdings, Ltd. | 111,069 | ||||||||
|
| |||||||||
Total Hong Kong | 52,152,377 | |||||||||
|
| |||||||||
Hungary — 0.3% | ||||||||||
3,142 | MOL Hungarian Oil and Gas Plc | 136,398 | ||||||||
94,080 | OTP Bank Nyrt | 1,787,315 | ||||||||
52,916 | Richter Gedeon Nyrt | 729,706 | ||||||||
|
| |||||||||
Total Hungary | 2,653,419 | |||||||||
|
| |||||||||
India — 9.9% | ||||||||||
16,744 | Adani Enterprises, Ltd. | 164,012 | ||||||||
264,357 | Aurobindo Pharma, Ltd. | 5,142,355 | ||||||||
117,541 | Axis Bank, Ltd. | 1,048,044 | ||||||||
49,162 | Bajaj Auto, Ltd. | 1,583,318 | ||||||||
68,445 | Bharat Heavy Electricals, Ltd. | 258,714 | ||||||||
289,257 | Cipla, Ltd. | 3,286,315 | ||||||||
145,066 | Coal India, Ltd. | 839,015 | ||||||||
24,732 | Colgate-Palmolive India, Ltd. | 789,962 | ||||||||
56,377 | Divi’s Laboratories, Ltd. | 1,594,524 | ||||||||
50,200 | Dr. Reddy’s Laboratories, Ltd., ADR‡ | 2,866,420 | ||||||||
20,379 | GAIL India, Ltd. | 126,544 | ||||||||
471,304 | HCL Technologies, Ltd. Class T | 7,401,539 | ||||||||
28,174 | HDFC Bank, Ltd. | 460,351 | ||||||||
103,154 | HDFC Bank, Ltd., ADR | 6,074,739 | ||||||||
55,140 | Hero MotoCorp Ltd. | 2,327,852 | ||||||||
310,181 | Hindustan Unilever, Ltd. | 4,322,027 | ||||||||
346,259 | Housing Development Finance Corp., Ltd. | 7,281,364 | ||||||||
664,751 | ICICI Bank, Ltd. | 3,343,871 | ||||||||
129,094 | Infosys, Ltd. | 4,569,358 | ||||||||
126,300 | Infosys, Ltd., Sponsored ADR‡ | 4,430,604 | ||||||||
1,171,414 | ITC, Ltd. | 6,088,663 | ||||||||
546,008 | JSW Energy, Ltd. | 1,035,196 | ||||||||
67,184 | Kotak Mahindra Bank, Ltd. | 1,405,167 | ||||||||
59,152 | Motherson Sumi Systems, Ltd. | 487,725 | ||||||||
6,713 | Nestle India, Ltd. | 765,039 | ||||||||
929,952 | NMDC, Ltd. | 1,884,237 | ||||||||
354,979 | Oil & Natural Gas Corp., Ltd. | 1,734,586 | ||||||||
78,715 | Oil India, Ltd. | 571,609 | ||||||||
757,646 | Power Finance Corp., Ltd. | 3,282,704 | ||||||||
201,005 | Power Grid Corp. of India, Ltd. | 467,814 | ||||||||
28,020 | Reliance Industries, Ltd. (London Exchange), GDR 144A | 741,129 | ||||||||
395,806 | Rural Electrification Corp., Ltd. | 2,102,954 | ||||||||
736,704 | Sesa Sterlite, Ltd. | 2,234,318 | ||||||||
24,361 | State Bank of India, Ltd., Reg S, GDR‡‡‡ | 1,030,470 | ||||||||
307,908 | Sun Pharmaceutical Industries, Ltd. | 5,023,455 | ||||||||
142,160 | Tata Consultancy Services, Ltd. | 5,815,314 | ||||||||
413,356 | Tata Motors, Ltd. | 3,636,773 | ||||||||
89,300 | Tata Motors, Ltd., Sponsored ADR | 4,023,858 | ||||||||
147,204 | Tata Steel, Ltd. | 743,650 |
See accompanying Notes to the Financial Statements. | 117 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
India — continued | ||||||||||
240,166 | Tech Mahindra, Ltd. | 2,423,870 | ||||||||
47,278 | Westlife Development, Ltd.* ¤ | 219,085 | ||||||||
160,800 | Wipro, Ltd. | 1,611,308 | ||||||||
98,693 | Wipro, Ltd., ADR‡ | 1,314,591 | ||||||||
99,774 | Zee Entertainment Enterprises, Ltd. | 544,617 | ||||||||
|
| |||||||||
Total India | 107,099,060 | |||||||||
|
| |||||||||
Indonesia — 3.1% | ||||||||||
6,512,700 | Adaro Energy Tbk PT | 473,198 | ||||||||
139,300 | Astra Agro Lestari Tbk PT | 258,890 | ||||||||
2,095,100 | Astra International Tbk PT | 1,374,033 | ||||||||
2,669,161 | Bank Central Asia Tbk PT | 3,026,410 | ||||||||
185,000 | Bank Mandiri Persero Tbk PT | 176,511 | ||||||||
4,170,700 | Bank Negara Indonesia Persero Tbk PT | 2,304,651 | ||||||||
5,428,400 | Bank Rakyat Indonesia Persero Tbk PT | 5,511,435 | ||||||||
635,000 | Indocement Tunggal Prakarsa Tbk PT | 1,064,809 | ||||||||
1,163,000 | Indofood Sukses Makmur Tbk PT | 662,666 | ||||||||
15,541,400 | Kalbe Farma Tbk PT | 2,216,804 | ||||||||
539,336 | Matahari Department Store Tbk PT | 812,613 | ||||||||
6,651,400 | Perusahaan Gas Negara Persero Tbk PT | 2,441,814 | ||||||||
844,600 | Semen Gresik Persero Tbk PT | 881,743 | ||||||||
140,000 | Tambang Batubara Bukit Asam Persero Tbk PT | 115,105 | ||||||||
36,827,240 | Telekomunikasi Indonesia Persero Tbk PT | 8,140,017 | ||||||||
44,800 | Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR | 1,950,592 | ||||||||
727,896 | Unilever Indonesia Tbk PT | 2,207,348 | ||||||||
170,900 | United Tractors Tbk PT | 284,942 | ||||||||
|
| |||||||||
Total Indonesia | 33,903,581 | |||||||||
|
| |||||||||
Luxembourg — 0.2% | ||||||||||
121,250 | Ternium SA, Sponsored ADR | 2,190,987 | ||||||||
|
| |||||||||
Malaysia — 2.9% | ||||||||||
1,174,900 | AirAsia Bhd | 755,032 | ||||||||
1,387,900 | AMMB Holdings Bhd | 2,383,433 | ||||||||
1,082,500 | Astro Malaysia Holdings Bhd | 935,331 | ||||||||
505,100 | Axiata Group Bhd | 965,602 | ||||||||
32,912 | British American Tobacco Malaysia Bhd | 610,163 | ||||||||
716,300 | DiGi.Com Bhd | 1,218,493 | ||||||||
3,076,000 | Genting Malaysia Bhd | 3,513,293 | ||||||||
137,500 | IJM Corp. Bhd | 267,315 | ||||||||
861,300 | IOI Corp. Bhd | 1,067,468 | ||||||||
1,956,803 | Malayan Banking Bhd | 4,929,654 | ||||||||
315,400 | MISC Bhd | 723,031 | ||||||||
547,500 | Petronas Chemicals Group Bhd | 833,779 | ||||||||
256,200 | Public Bank Bhd | 1,306,077 | ||||||||
844,800 | Sime Darby Bhd | 2,114,566 | ||||||||
2,062,500 | Tenaga Nasional Bhd | 7,997,165 | ||||||||
591,600 | UMW Holdings Bhd | 1,731,590 | ||||||||
|
| |||||||||
Total Malaysia | 31,351,992 | |||||||||
|
|
118 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Mexico — 3.7% | ||||||||||
873,300 | Alfa SAB de CV Class A* | 1,768,469 | ||||||||
291,000 | America Movil SAB de CV Series L, Sponsored ADR | 5,953,860 | ||||||||
1,836,900 | America Movil SAB de CV Series L | 1,882,207 | ||||||||
126,000 | Arca Continental SAB de CV* | 775,805 | ||||||||
75,400 | Cemex SAB de CV, Sponsored ADR* | 714,038 | ||||||||
735,400 | Fibra Uno Administracion SA de CV REIT | 1,950,221 | ||||||||
188,700 | Fomento Economico Mexicano SAB de CV* | 1,766,200 | ||||||||
58,515 | Fomento Economico Mexicano SAB de CV, Sponsored ADR* | 5,471,153 | ||||||||
324,200 | Genomma Lab Internacional SAB de CV Class B* | 303,254 | ||||||||
1,453,000 | Gentera SAB de CV* | 2,607,613 | ||||||||
130,100 | Gruma SAB de CV Class B | 1,657,522 | ||||||||
61,900 | Grupo Aeroportuario del Pacifico SAB de CV Class B | 407,256 | ||||||||
85,159 | Grupo Financiero Santander Mexico SAB de CV Class B, ADR | 929,936 | ||||||||
1,613,789 | Grupo Mexico SAB de CV Series B | 4,764,805 | ||||||||
88,440 | Grupo Televisa SAB, Sponsored ADR* | 2,919,404 | ||||||||
80,400 | Grupo Televisa SAB* | 531,400 | ||||||||
77,634 | Industrias Penoles SAB de CV | 1,349,833 | ||||||||
493,500 | OHL Mexico SAB de CV* | 933,922 | ||||||||
1,465,019 | Wal-Mart de Mexico SAB de CV | 3,655,275 | ||||||||
|
| |||||||||
Total Mexico | 40,342,173 | |||||||||
|
| |||||||||
Netherlands — 0.0% | ||||||||||
23,833 | Yandex NV Class A* | 361,427 | ||||||||
|
| |||||||||
Panama — 0.2% | ||||||||||
142,983 | Avianca Holdings SA, Sponsored ADR | 1,618,568 | ||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
12,700 | Cia de Minas Buenaventura SA, ADR | 128,651 | ||||||||
|
| |||||||||
Philippines — 0.4% | ||||||||||
877,500 | Aboitiz Equity Ventures, Inc. | 1,138,591 | ||||||||
1,274,559 | Metropolitan Bank & Trust Co. | 2,781,504 | ||||||||
|
| |||||||||
Total Philippines | 3,920,095 | |||||||||
|
| |||||||||
Poland — 0.8% | ||||||||||
105,660 | Energa SA | 693,903 | ||||||||
28,048 | KGHM Polska Miedz SA | 887,712 | ||||||||
112,272 | Orange Polska SA | 282,198 | ||||||||
544,310 | PGE Polska Grupa Energetyczna SA | 2,991,803 | ||||||||
710,767 | Polskie Gornictwo Naftowe i Gazownictwo SA | 1,031,048 | ||||||||
24,496 | Powszechny Zaklad Ubezpieczen SA | 3,159,315 | ||||||||
|
| |||||||||
Total Poland | 9,045,979 | |||||||||
|
| |||||||||
Qatar — 0.4% | ||||||||||
42,528 | Barwa Real Estate Co. | 526,746 | ||||||||
25,628 | Doha Bank QSC | 354,024 | ||||||||
24,887 | Industries Qatar QSC | 950,029 |
See accompanying Notes to the Financial Statements. | 119 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Qatar — continued | ||||||||||
47,830 | Qatar National Bank SAQ | 2,541,738 | ||||||||
|
| |||||||||
Total Qatar | 4,372,537 | |||||||||
|
| |||||||||
Russia — 2.0% | ||||||||||
487,555 | Gazprom OAO, Sponsored ADR | 2,317,837 | ||||||||
327,525 | Gazprom OAO (OTC Exchange), Sponsored ADR | 1,544,280 | ||||||||
31,400 | LUKOIL OAO (DTC Shares), Sponsored ADR | 1,442,202 | ||||||||
50,065 | LUKOIL OAO (Euroclear Shares), Sponsored ADR | 2,319,011 | ||||||||
3,924 | Magnit PJSC, Reg S, GDR‡‡‡ | 200,320 | ||||||||
253,115 | MMC Norilsk Nickel OJSC, ADR | 4,496,588 | ||||||||
4,262 | MMC Norilsk Nickel OJSC (London Exchange), ADR | 75,714 | ||||||||
297,400 | Mobile Telesystems OJSC, Sponsored ADR | 3,003,740 | ||||||||
7,128 | NOVATEK OAO, Reg S, GDR‡‡‡ | 534,600 | ||||||||
92,659 | Rosneft Oil Co., Reg S, (London Exchange), GDR‡‡‡ | 398,897 | ||||||||
23,052 | Severstal PAO, Reg S, GDR‡‡‡ | 258,874 | ||||||||
194,419 | Sistema JSFC, Reg S, GDR‡‡‡ | 1,438,701 | ||||||||
222,408 | Surgutneftegas OAO, Sponsored ADR | 1,370,033 | ||||||||
77,992 | Tatneft OAO, Sponsored ADR | 2,323,382 | ||||||||
11,999 | Tatneft OAO (London Exchange), Sponsored ADR | 357,450 | ||||||||
|
| |||||||||
Total Russia | 22,081,629 | |||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
98,242 | DBS Group Holdings, Ltd.‡ | 1,458,196 | ||||||||
|
| |||||||||
South Africa — 5.8% | ||||||||||
182,844 | Barclays Africa Group, Ltd. | 2,791,799 | ||||||||
84,223 | Exxaro Resources, Ltd.‡ | 698,600 | ||||||||
832,275 | FirstRand, Ltd. | 3,835,695 | ||||||||
144,442 | Foschini Group, Ltd. (The) | 2,152,637 | ||||||||
353,595 | Growthpoint Properties, Ltd. | 836,692 | ||||||||
14,135 | Imperial Holdings, Ltd. | 225,052 | ||||||||
138,927 | Investec, Ltd. | 1,152,465 | ||||||||
25,247 | Kumba Iron Ore, Ltd.‡ | 325,062 | ||||||||
45,155 | Liberty Holdings, Ltd. | 625,546 | ||||||||
62,126 | Life Healthcare Group Holdings, Ltd. | 216,944 | ||||||||
80,615 | Mediclinic International, Ltd. | 811,656 | ||||||||
864,191 | MMI Holdings, Ltd. | 2,340,885 | ||||||||
29,069 | Mr Price Group, Ltd. | 623,809 | ||||||||
744,978 | MTN Group, Ltd. | 12,604,600 | ||||||||
50,556 | Naspers, Ltd. Class N | 7,802,721 | ||||||||
555,432 | Netcare, Ltd. | 1,911,607 | ||||||||
56,247 | Pick n Pay Stores, Ltd.‡ | 229,561 | ||||||||
43,025 | Rand Merchant Insurance Holdings, Ltd. | 164,270 | ||||||||
2,827,106 | Redefine Properties, Ltd. | 2,893,314 | ||||||||
140,015 | Remgro, Ltd. | 3,071,576 | ||||||||
273,834 | RMB Holdings, Ltd. | 1,579,327 | ||||||||
238,309 | Sanlam, Ltd. | 1,541,424 | ||||||||
141,379 | Sasol, Ltd. | 4,809,424 | ||||||||
54,131 | Shoprite Holdings, Ltd. | 733,899 |
120 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
South Africa — continued | ||||||||||
147,500 | Spar Group, Ltd. (The) | 2,297,184 | ||||||||
177,127 | Standard Bank Group, Ltd. | 2,455,986 | ||||||||
114,231 | Telkom SA SOC, Ltd.* | 746,691 | ||||||||
181,600 | Truworths International, Ltd.‡ | 1,322,853 | ||||||||
586,248 | Tsogo Sun Holdings, Ltd. | 1,335,433 | ||||||||
122,001 | Woolworths Holdings, Ltd. | 867,462 | ||||||||
|
| |||||||||
Total South Africa | 63,004,174 | |||||||||
|
| |||||||||
South Korea — 10.8% | ||||||||||
271 | Amorepacific Corp. | 819,510 | ||||||||
1,505 | AMOREPACIFIC Group | 2,034,792 | ||||||||
468 | CJ CheilJedang Corp. | 159,452 | ||||||||
4,631 | CJ Corp. | 734,649 | ||||||||
16,096 | Coway Co., Ltd. | 1,327,490 | ||||||||
128,911 | DGB Financial Group, Inc. | 1,405,938 | ||||||||
48,226 | Dongbu Insurance Co., Ltd. | 2,149,512 | ||||||||
37,128 | Halla Visteon Climate Control Corp. | 1,285,065 | ||||||||
21,352 | Hana Financial Group, Inc. | 553,310 | ||||||||
45,663 | Hanwha Corp. | 1,496,102 | ||||||||
314,561 | Hanwha Life Insurance Co., Ltd. | 2,089,607 | ||||||||
8,413 | Hyosung Corp. | 657,449 | ||||||||
31,197 | Hyundai Development Co-Engineering & Construction | 1,602,802 | ||||||||
4,845 | Hyundai Engineering & Construction Co., Ltd. | 220,098 | ||||||||
63,925 | Hyundai Marine & Fire Insurance Co., Ltd. | 1,428,942 | ||||||||
21,274 | Hyundai Mobis Co., Ltd. | 4,726,703 | ||||||||
40,711 | Hyundai Motor Co. | 6,183,067 | ||||||||
69,465 | Kangwon Land, Inc. | 2,169,509 | ||||||||
66,475 | KB Financial Group, Inc. | 2,354,741 | ||||||||
27,073 | Kia Motors Corp. | 1,102,979 | ||||||||
134,266 | Korea Electric Power Corp. | 5,566,935 | ||||||||
7,659 | Korea Zinc Co., Ltd. | 2,927,050 | ||||||||
87,187 | Korean Air Lines Co., Ltd.* | 3,815,340 | ||||||||
234,060 | Korean Reinsurance Co. | 2,151,888 | ||||||||
63,379 | KT&G Corp. | 5,067,121 | ||||||||
2,747 | LG Chem, Ltd. | 559,576 | ||||||||
36,180 | LG Corp. | 1,999,039 | ||||||||
149,800 | LG Display Co., Ltd., ADR* | 2,143,638 | ||||||||
4,067 | LG Innotek Co., Ltd. | 425,231 | ||||||||
872 | Lotte Chemical Corp. | 159,946 | ||||||||
21,992 | LS Industrial Systems Co., Ltd. | 1,264,671 | ||||||||
31,743 | Mirae Asset Securities Co., Ltd. | 1,496,380 | ||||||||
16,160 | NCSoft Corp. | 2,643,688 | ||||||||
877 | Orion Corp. Republic of South Korea | 915,378 | ||||||||
8,494 | POSCO | 1,871,903 | ||||||||
18,520 | S-1 Corp. | 1,400,539 | ||||||||
21,989 | Samsung Card Co., Ltd. | 813,600 | ||||||||
9,875 | Samsung Electronics Co., Ltd., GDR | 12,826,063 | ||||||||
646 | Samsung Electronics Co., Ltd.* | 419,526 | ||||||||
21,055 | Samsung Electronics Co., Ltd. (London Exchange), GDR | 13,559,420 |
See accompanying Notes to the Financial Statements. | 121 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
South Korea — continued | ||||||||||
5,072 | Samsung Fire & Marine Insurance Co., Ltd. | 1,222,912 | ||||||||
13,717 | Samsung Life Insurance Co., Ltd. | 1,195,578 | ||||||||
10,232 | Shinhan Financial Group Co., Ltd. | 386,888 | ||||||||
1,262 | Shinsegae Co., Ltd. | 191,669 | ||||||||
8,547 | SK C&C Co., Ltd. | 1,791,138 | ||||||||
9,583 | SK Holdings Co., Ltd. | 1,468,394 | ||||||||
162,603 | SK Hynix, Inc. | 6,675,890 | ||||||||
244,252 | SK Networks Co., Ltd. | 1,796,472 | ||||||||
23,641 | SK Telecom Co., Ltd. | 5,806,636 | ||||||||
96,183 | Woori Bank | 813,193 | ||||||||
|
| |||||||||
Total South Korea | 117,877,419 | |||||||||
|
| |||||||||
Taiwan — 12.4% | ||||||||||
598,000 | Advanced Semiconductor Engineering, Inc. | 807,462 | ||||||||
263,000 | Asustek Computer, Inc. | 2,647,651 | ||||||||
592,000 | AU Optronics Corp. | 297,987 | ||||||||
229,000 | Catcher Technology Co., Ltd. | 2,400,511 | ||||||||
656,000 | Cathay Financial Holding Co., Ltd. | 1,048,258 | ||||||||
276,000 | Cheng Shin Rubber Industry Co., Ltd. | 634,209 | ||||||||
676,797 | Chicony Electronics Co., Ltd. | 1,899,098 | ||||||||
2,448,000 | China Airlines, Ltd.* | 1,255,686 | ||||||||
742,200 | China Life Insurance Co., Ltd. | 646,371 | ||||||||
619,000 | China Motor Corp. | 536,111 | ||||||||
1,948,000 | Compal Electronics, Inc. | 1,621,777 | ||||||||
6,049,880 | CTBC Financial Holding Co., Ltd. | 4,021,652 | ||||||||
518,000 | CTCI Corp. | 854,228 | ||||||||
651,000 | Delta Electronics, Inc. | 4,109,060 | ||||||||
4,384,495 | E.Sun Financial Holding Co., Ltd. | 2,683,384 | ||||||||
1,304,000 | Eva Airways Corp.* | 956,433 | ||||||||
1,119,000 | Far Eastern Department Stores, Ltd. | 945,911 | ||||||||
248,000 | Far EasTone Telecommunications Co., Ltd. | 598,402 | ||||||||
126,000 | Foxconn Technology Co., Ltd. | 338,255 | ||||||||
5,402,997 | Fubon Financial Holding Co., Ltd. | 9,704,328 | ||||||||
3,460,910 | Hon Hai Precision Industry Co., Ltd. | 10,131,651 | ||||||||
617,000 | Innolux Corp. | 308,599 | ||||||||
2,891,000 | Inotera Memories, Inc.* | 3,857,438 | ||||||||
2,199,000 | Inventec Corp. | 1,591,798 | ||||||||
501,000 | Kinsus Interconnect Technology Corp. | 1,609,156 | ||||||||
62,000 | Largan Precision Co., Ltd. | 5,340,045 | ||||||||
2,865,368 | Lite-On Technology Corp. | 3,713,348 | ||||||||
433,880 | MediaTek, Inc. | 5,872,425 | ||||||||
98,000 | Novatek Microelectronics Corp. | 507,383 | ||||||||
1,945,000 | Pegatron Corp. | 5,264,989 | ||||||||
261,000 | Pou Chen Corp. | 365,350 | ||||||||
417,000 | Powertech Technology, Inc. | 718,322 | ||||||||
507,055 | President Chain Store Corp. | 3,816,282 | ||||||||
1,089,000 | Quanta Computer, Inc. | 2,631,141 | ||||||||
1,023,060 | Radiant Opto-Electronics Corp. | 3,184,597 | ||||||||
408,000 | Realtek Semiconductor Corp. | 1,303,931 |
122 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Taiwan — continued | ||||||||||
590,062 | SinoPac Financial Holdings Co., Ltd. | 246,095 | ||||||||
2,800,000 | Taiwan Cement Corp. | 3,946,309 | ||||||||
4,743,334 | Taiwan Semiconductor Manufacturing Co., Ltd. | 22,056,730 | ||||||||
557,252 | Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 13,084,277 | ||||||||
401,000 | Teco Electric and Machinery Co., Ltd. | 381,905 | ||||||||
282,000 | Transcend Information, Inc. | 1,000,384 | ||||||||
561,438 | Uni-President Enterprises Corp. | 940,216 | ||||||||
622,000 | Vanguard International Semiconductor Corp. | 1,057,539 | ||||||||
1,890,000 | Wistron Corp. | 1,606,711 | ||||||||
1,918,000 | WPG Holdings, Ltd. | 2,470,291 | ||||||||
459,200 | Yuanta Financial Holding Co., Ltd. | 231,141 | ||||||||
|
| |||||||||
Total Taiwan | 135,244,827 | |||||||||
|
| |||||||||
Thailand — 3.2% | ||||||||||
440,600 | Advanced Info Service PCL (Registered Shares) | 3,209,041 | ||||||||
133,400 | Airports of Thailand PCL, NVDR | 1,147,879 | ||||||||
238,428 | Bangkok Bank PCL | 1,359,201 | ||||||||
743,900 | Bangkok Bank PCL, NVDR | 4,217,872 | ||||||||
770,900 | Bangkok Dusit Medical Services PCL Class F | 466,709 | ||||||||
221,800 | BEC World PCL, NVDR | 279,465 | ||||||||
1,248,300 | CP All PCL Class F | 1,572,843 | ||||||||
210,500 | Delta Electronics Thailand PCL, NVDR | 486,789 | ||||||||
214,900 | Indorama Ventures PCL, NVDR | 171,709 | ||||||||
6,684,000 | Jasmine International PCL | 1,181,100 | ||||||||
334,573 | Kasikornbank PCL | 2,364,837 | ||||||||
391,300 | Kasikornbank PCL, NVDR | 2,753,771 | ||||||||
4,825,000 | Krung Thai Bank PCL | 3,380,762 | ||||||||
2,179,700 | Krung Thai Bank PCL, NVDR | 1,527,264 | ||||||||
2,414,900 | PTT Global Chemical PCL | 3,877,644 | ||||||||
162,300 | PTT PCL | 1,611,029 | ||||||||
65,100 | PTT PCL, NVDR | 646,198 | ||||||||
302,300 | Siam Commercial Bank PCL | 1,653,639 | ||||||||
50,900 | Siam Commercial Bank PCL, NVDR | 278,433 | ||||||||
2,901,800 | Thai Beverage PCL Class C | 1,618,340 | ||||||||
1,600,500 | Thai Union Frozen Products PCL, NVDR | 988,631 | ||||||||
|
| |||||||||
Total Thailand | 34,793,156 | |||||||||
|
| |||||||||
Turkey — 1.6% | ||||||||||
8,176 | BIM Birlesik Magazalar AS | 145,162 | ||||||||
15,569 | Coca-Cola Icecek AS | 263,531 | ||||||||
2,190,532 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 2,488,762 | ||||||||
647,925 | Eregli Demir ve Celik Fabrikalari TAS | 1,008,133 | ||||||||
282,243 | TAV Havalimanlari Holding AS | 2,364,254 | ||||||||
198,495 | Tofas Turk Otomobil Fabrikasi AS | 1,204,042 | ||||||||
891,353 | Turk Hava Yollari AO* | 2,948,863 | ||||||||
605,904 | Turk Telekomunikasyon AS | 1,610,143 | ||||||||
491,886 | Turkcell Iletisim Hizmetleri AS* | 2,529,050 | ||||||||
408,668 | Turkiye Halk Bankasi AS | 2,022,486 |
See accompanying Notes to the Financial Statements. | 123 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Turkey — continued | ||||||||||
158,957 | Turkiye Sise ve Cam Fabrikalari AS | 196,515 | ||||||||
|
| |||||||||
Total Turkey | 16,780,941 | |||||||||
|
| |||||||||
United Arab Emirates — 0.4% | ||||||||||
339,071 | Abu Dhabi Commercial Bank PJSC | 597,291 | ||||||||
1,330,625 | Emaar Properties PJSC | 2,391,060 | ||||||||
272,289 | First Gulf Bank PJSC | 1,082,365 | ||||||||
|
| |||||||||
Total United Arab Emirates | 4,070,716 | |||||||||
|
| |||||||||
United Kingdom — 1.8% | ||||||||||
141,101 | British American Tobacco Plc | 7,325,082 | ||||||||
114,581 | Mondi Plc | 2,207,841 | ||||||||
954,705 | Old Mutual Plc | 3,173,092 | ||||||||
12,899 | Randgold Resources, Ltd. | 898,643 | ||||||||
14,912 | Randgold Resources, Ltd., ADR | 1,032,954 | ||||||||
85,436 | SABMiller Plc | 4,484,663 | ||||||||
44,346 | Wizz Air Holdings Plc* 144A | 914,402 | ||||||||
|
| |||||||||
Total United Kingdom | 20,036,677 | |||||||||
|
| |||||||||
United States — 0.0% | ||||||||||
13,900 | Southern Copper Corp.‡ | 405,602 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $947,945,784) | 973,845,756 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 1.3% | ||||||||||
Brazil — 1.2% | ||||||||||
868,400 | Banco do Estado do Rio Grande do Sul, 7.16% | 2,877,368 | ||||||||
382,600 | Bradespar SA, 15.58% | 2,832,301 | ||||||||
508,200 | Cia Energetica de Sao Paulo, 12.72% | 1,749,069 | ||||||||
53,100 | Cia Paranaense de Energia, 6.69% | 559,061 | ||||||||
86,800 | Itau Unibanco Holding SA, 3.57% | 958,952 | ||||||||
668,969 | Itausa - Investimentos Itau SA, 4.14% | 2,088,893 | ||||||||
54,700 | Lojas Americanas SA, 0.58% | 281,535 | ||||||||
47,900 | Metalurgica Gerdau SA, 3.45% | 162,010 | ||||||||
361,400 | Vale SA, 11.77% | 1,747,014 | ||||||||
|
| |||||||||
Total Brazil | 13,256,203 | |||||||||
|
| |||||||||
Colombia — 0.1% | ||||||||||
88,490 | Banco Davivienda SA, 2.98% | 861,830 | ||||||||
|
| |||||||||
India — 0.0% | ||||||||||
2,134,356 | Zee Entertainment Enterprises, Ltd., 6.00% | 28,307 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $22,237,718) | 14,146,340 | |||||||||
|
|
124 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 11.3% | ||||||||||
Bank Deposit — 9.5% | ||||||||||
102,878,817 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 102,878,817 | ||||||||
|
| |||||||||
Investment Fund — 0.4% | ||||||||||
4,360,000 | State Street Institutional Treasury Plus Money Market Fund, Premier Class***** | 4,360,000 | ||||||||
|
| |||||||||
Securities Lending Collateral — 1.4% | ||||||||||
15,592,377 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 15,592,377 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $122,831,194) | 122,831,194 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.2% (Cost $1,093,014,696) | 1,110,823,290 | |||||||||
Other Assets and Liabilities (net) — (2.2)% | (23,468,047 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 1,087,355,243 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
GDR — Global Depository Receipt | ||||||||||
NVDR — Non-Voting Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
¤ | Illiquid security. The total market value of the securities at year end is $219,085 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $254,163. | |||||||||
**** | Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $11,157 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2015 was $7,573. | |||||||||
***** | Security has been segregated to cover collateral requirements on open synthetic futures contracts. | |||||||||
‡ | All or a portion of this security is out on loan. | |||||||||
‡‡‡ | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |||||||||
144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $3,744,371 which represents 0.3% of net assets. |
See accompanying Notes to the Financial Statements. | 125 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2015
A summary of outstanding financial instruments at March 31, 2015 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
06/17/15 | BRL | Citibank N.A. London | 5,775,000 | $ | 1,767,244 | $ | (44,825 | ) | ||||||||||||
06/17/15 | CLP | Citibank N.A. London | 4,434,004,000 | 7,063,890 | 24,163 | |||||||||||||||
06/17/15 | COP | Citibank N.A. London | 11,100,000,000 | 4,235,885 | 19,145 | |||||||||||||||
06/17/15 | CZK | Citibank N.A. London | 153,310,000 | 5,982,469 | (174,708 | ) | ||||||||||||||
06/17/15 | HKD | Citibank N.A. London | 107,125,000 | 13,815,245 | 14,794 | |||||||||||||||
06/17/15 | HUF | Citibank N.A. London | 5,159,450,000 | 18,453,199 | (273,780 | ) | ||||||||||||||
06/17/15 | IDR | Citibank N.A. London | 84,414,343,225 | 6,339,674 | 21,268 | |||||||||||||||
06/17/15 | ILS | Citibank N.A. London | 15,220,000 | 3,827,896 | 3,004 | |||||||||||||||
06/17/15 | INR | Citibank N.A. London | 1,379,306,000 | 21,705,667 | (28,570 | ) | ||||||||||||||
06/17/15 | KRW | Citibank N.A. London | 36,060,630,000 | 32,424,979 | 173,470 | |||||||||||||||
06/17/15 | MXN | Citibank N.A. London | 127,000,000 | 8,296,519 | (30,605 | ) | ||||||||||||||
06/17/15 | PEN | Citibank N.A. London | 800,000 | 254,618 | 1,158 | |||||||||||||||
06/17/15 | PHP | Citibank N.A. London | 131,000,000 | 2,917,605 | (39,674 | ) | ||||||||||||||
06/17/15 | PLN | Citibank N.A. London | 12,782,000 | 3,362,636 | (46,153 | ) | ||||||||||||||
06/17/15 | SGD | Citibank N.A. London | 15,180,000 | 11,045,543 | 26,218 | |||||||||||||||
06/17/15 | THB | Citibank N.A. London | 47,803,000 | 1,464,441 | 19,382 | |||||||||||||||
06/17/15 | TRY | Citibank N.A. London | 46,613,000 | 17,600,872 | 131,413 | |||||||||||||||
06/17/15 | TWD | Citibank N.A. London | 469,295,000 | 15,001,958 | 58,551 | |||||||||||||||
06/17/15 | ZAR | Citibank N.A. London | 194,828,000 | 15,879,076 | (285,355 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (431,104 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
06/17/15 | BRL | Citibank N.A. London | 25,736,000 | $ | 7,875,635 | $ | (64,767 | ) | ||||||||||||
06/17/15 | CLP | Citibank N.A. London | 45,016,000 | 71,716 | (449 | ) | ||||||||||||||
06/17/15 | COP | Citibank N.A. London | 28,513,000,000 | 10,880,882 | 94,586 | |||||||||||||||
06/17/15 | CZK | Citibank N.A. London | 42,000,000 | 1,638,926 | 26,715 | |||||||||||||||
06/17/15 | HKD | Citibank N.A. London | 43,008,000 | 5,546,474 | (2,133 | ) | ||||||||||||||
06/17/15 | HUF | Citibank N.A. London | 780,000,000 | 2,789,734 | (64,391 | ) | ||||||||||||||
06/17/15 | IDR | Citibank N.A. London | 1,271,880,000 | 95,521 | (564 | ) | ||||||||||||||
06/17/15 | ILS | Citibank N.A. London | 29,100,000 | 7,318,775 | (37,753 | ) | ||||||||||||||
06/17/15 | INR | Citibank N.A. London | 120,105,000 | 1,890,051 | 11,849 | |||||||||||||||
06/17/15 | KRW | Citibank N.A. London | 13,333,480,000 | 11,989,192 | (47,544 | ) | ||||||||||||||
06/17/15 | MXN | Citibank N.A. London | 723,625,000 | 47,272,193 | 97,046 | |||||||||||||||
06/17/15 | MYR | Citibank N.A. London | 29,256,000 | 7,847,903 | 16,276 | |||||||||||||||
06/17/15 | PEN | Citibank N.A. London | 200,000 | 63,654 | 180 | |||||||||||||||
06/17/15 | PHP | Citibank N.A. London | 7,100,000 | 158,130 | 2,384 | |||||||||||||||
06/17/15 | PLN | Citibank N.A. London | 22,300,000 | 5,866,592 | (87,026 | ) | ||||||||||||||
06/17/15 | SGD | Citibank N.A. London | 52,746,000 | 38,379,987 | (142,395 | ) | ||||||||||||||
06/17/15 | THB | Citibank N.A. London | 15,808,000 | 484,277 | (2,392 | ) | ||||||||||||||
06/17/15 | TRY | Citibank N.A. London | 11,900,000 | 4,493,390 | 13,708 | |||||||||||||||
06/17/15 | TWD | Citibank N.A. London | 93,387,000 | 2,985,303 | 2,870 | |||||||||||||||
06/17/15 | ZAR | Citibank N.A. London | 34,661,000 | 2,824,977 | (5,565 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (189,365 | ) | ||||||||||||||||||
|
|
126 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Currency Abbreviations
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
CZK | Czech Koruna |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peruvian Nouveau Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | New Turkish Lira |
TWD | Taiwan Dollar |
ZAR | South African Rand |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
146 | BIST 30 Index | April 2015 | $ | 553,158 | $ | (55,840 | ) | |||||||||||
75 | FTSE Bursa Malaysia KLCI Index | April 2015 | 1,847,408 | 8,344 | ||||||||||||||
54 | H-shares Index | April 2015 | 4,315,166 | 131,215 | ||||||||||||||
931 | MSCI Emerging Markets E-mini Index | June 2015 | 45,265,220 | 1,505,480 | ||||||||||||||
135 | MSCI Singapore Index | April 2015 | 7,481,738 | (41,758 | ) | |||||||||||||
86 | MSCI Taiwan Stock Index | April 2015 | 3,035,800 | (7,916 | ) | |||||||||||||
421 | SET50 Index | June 2015 | 2,551,617 | (26,648 | ) | |||||||||||||
|
| |||||||||||||||||
$ | 1,512,877 | |||||||||||||||||
|
| |||||||||||||||||
Sales | ||||||||||||||||||
318 | FTSE/JSE TOP 40 | June 2015 | $ | 12,175,663 | $ | 10,023 | ||||||||||||
36 | KOSPI 200 Index | June 2015 | 4,179,368 | (37,388 | ) | |||||||||||||
64 | Mexico Bolsa Index | June 2015 | 1,831,200 | 2,161 | ||||||||||||||
661 | SGX CNX Nifty Index | April 2015 | 11,288,558 | 156,765 | ||||||||||||||
|
| |||||||||||||||||
$ | 131,561 | |||||||||||||||||
|
|
See accompanying Notes to the Financial Statements. | 127 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Synthetic Futures
Number of | Reference Entity | Expiration Date | Counterparty | Notional | Value | |||||||||||||
13,200 | MSCI Taiwan Stock Index | 04/29/2015 | Goldman Sachs & Co. | $ | 4,698,015 | $ | (38,415 | ) | ||||||||||
14,200 | Tel Aviv 25 Index | 04/24/2015 | Goldman Sachs & Co. | 5,806,041 | 26,933 | |||||||||||||
8,350 | Hang Seng China Enterprises Index | 04/29/2015 | Goldman Sachs & Co. | 12,816,707 | 523,054 | |||||||||||||
(800 | ) | Warsaw WIG 20 Index | 06/19/2015 | Goldman Sachs & Co. | (468,462 | ) | (18,253 | ) | ||||||||||
807 | Brazil Bovespa Stock Index | 04/15/2015 | Goldman Sachs & Co. | 14,519,231 | (6,405 | ) | ||||||||||||
10,400 | Taiwan Stock Exchange Capitalization Weighted Stock Index | 04/15/2015 | Goldman Sachs & Co. | 3,164,352 | (7,942 | ) | ||||||||||||
125 | MSCI Daily Total Return Net Turkey Index | 06/17/2015 | Goldman Sachs & Co. | 50,459 | (2,581 | ) | ||||||||||||
1,291 | MSCI Daily Total Return Net Turkey Index | 06/17/2015 | Goldman Sachs & Co. | 460,684 | 6,986 | |||||||||||||
1,300 | MSCI Daily Total Return Net Turkey Index | 04/30/2015 | Goldman Sachs & Co. | 49,349 | (135 | ) | ||||||||||||
|
| |||||||||||||||||
$ | 483,242 | |||||||||||||||||
|
|
128 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Banks | 14.9 | ||||
Semiconductors | 7.6 | ||||
Telecommunications | 7.3 | ||||
Diversified Financial Services | 5.4 | ||||
Insurance | 4.0 | ||||
Electric | 3.7 | ||||
Oil & Gas | 3.7 | ||||
Beverages | 3.0 | ||||
Internet | 3.0 | ||||
Computers | 2.8 | ||||
Real Estate | 2.6 | ||||
Auto Manufacturers | 2.5 | ||||
Electronics | 2.5 | ||||
Mining | 2.4 | ||||
Pharmaceuticals | 2.4 | ||||
Agriculture | 2.1 | ||||
Retail | 2.0 | ||||
Commercial Services | 1.9 | ||||
Food | 1.8 | ||||
Airlines | 1.4 | ||||
Software | 1.3 | ||||
Media | 1.2 | ||||
Chemicals | 1.1 | ||||
Holding Companies — Diversified | 1.1 | ||||
Building Materials | 0.9 | ||||
Engineering & Construction | 0.9 | ||||
Lodging | 0.8 | ||||
Auto Parts & Equipment | 0.6 | ||||
Household Products & Wares | 0.6 | ||||
Iron & Steel | 0.6 | ||||
Electrical Components & Equipment | 0.5 | ||||
Miscellaneous — Manufacturing | 0.5 | ||||
Coal | 0.4 | ||||
Cosmetics & Personal Care | 0.4 | ||||
Distribution & Wholesale | 0.3 | ||||
Health Care — Services | 0.3 | ||||
Leisure Time | 0.3 | ||||
Metal Fabricate & Hardware | 0.3 | ||||
REITS | 0.3 | ||||
Entertainment | 0.2 | ||||
Forest Products & Paper | 0.2 | ||||
Gas | 0.2 | ||||
Home Builders | 0.2 | ||||
Home Furnishings | 0.2 | ||||
Transportation | 0.2 | ||||
Environmental Control | 0.1 | ||||
Oil & Gas Services | 0.1 | ||||
Water | 0.1 | ||||
Apparel | 0.0 | ||||
Health Care — Products | 0.0 | ||||
Housewares | 0.0 |
See accompanying Notes to the Financial Statements. | 129 |
Table of Contents
Mercer Emerging Markets Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Investment Companies | 0.0 | ||||
Machinery — Construction & Mining | 0.0 | ||||
Machinery — Diversified | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 9.1 | ||||
|
| ||||
100.0 | % | ||||
|
|
130 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
COMMON STOCKS — 85.7% | ||||||||||
Australia — 1.6% | ||||||||||
5,806 | Cochlear, Ltd. | 401,545 | ||||||||
516,923 | Cromwell Property Group REIT | 448,215 | ||||||||
34,835 | Harvey Norman Holdings, Ltd. | 118,424 | ||||||||
142,759 | Newcrest Mining, Ltd.* | 1,458,142 | ||||||||
111,467 | Regis Healthcare, Ltd.* ‡ | 510,932 | ||||||||
551,843 | Telstra Corp., Ltd. | 2,660,173 | ||||||||
64,187 | Wesfarmers, Ltd. | 2,155,608 | ||||||||
229,384 | Woolworths, Ltd.‡ | 5,167,767 | ||||||||
|
| |||||||||
Total Australia | 12,920,806 | |||||||||
|
| |||||||||
Austria — 0.6% | ||||||||||
185 | Agrana Beteiligungs AG | 15,539 | ||||||||
17,396 | BUWOG AG* ‡ | 357,038 | ||||||||
17,851 | EVN AG | 200,730 | ||||||||
8,568 | Flughafen Wien AG | 744,904 | ||||||||
4,060 | Mayr Melnhof Karton AG | 418,602 | ||||||||
27,586 | Oesterreichische Post AG | 1,356,933 | ||||||||
17,897 | Telekom Austria AG | 128,207 | ||||||||
21,631 | Verbund AG | 361,950 | ||||||||
34,280 | Voestalpine AG | 1,255,266 | ||||||||
|
| |||||||||
Total Austria | 4,839,169 | |||||||||
|
| |||||||||
Belgium — 1.0% | ||||||||||
304 | Anheuser-Busch InBev NV | 37,155 | ||||||||
24,203 | Befimmo SA REIT | 1,642,822 | ||||||||
18,514 | Belgacom SA | 647,722 | ||||||||
32,769 | Colruyt SA | 1,426,760 | ||||||||
36,411 | Elia System Operator SA | 1,532,150 | ||||||||
33,761 | Groupe Bruxelles Lambert SA | 2,797,405 | ||||||||
8,623 | Ontex Group NV* | 261,765 | ||||||||
|
| |||||||||
Total Belgium | 8,345,779 | |||||||||
|
| |||||||||
Bermuda — 1.1% | ||||||||||
17,600 | Arch Capital Group, Ltd.* | 1,084,160 | ||||||||
13,800 | Aspen Insurance Holdings, Ltd. | 651,774 | ||||||||
14,000 | Bunge, Ltd. | 1,153,040 | ||||||||
55,000 | Cheung Kong Infrastructure Holdings, Ltd. | 473,878 | ||||||||
6,300 | China Yuchai International, Ltd. | 124,362 | ||||||||
9,400 | Dairy Farm International Holdings, Ltd. | 88,266 | ||||||||
9,400 | Endurance Specialty Holdings, Ltd. | 574,716 | ||||||||
5,800 | Everest Re Group, Ltd. | 1,009,200 | ||||||||
18,200 | Genpact, Ltd.* | 423,150 | ||||||||
7,000 | Guoco Group, Ltd. | 81,303 | ||||||||
18,200 | Jardine Matheson Holdings, Ltd. | 1,150,240 | ||||||||
27,500 | Marvell Technology Group, Ltd. | 404,250 | ||||||||
13,300 | Norwegian Cruise Line Holdings, Ltd.* | 718,333 | ||||||||
29,600 | Transport International Holdings, Ltd. | 71,394 |
See accompanying Notes to the Financial Statements. | 131 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Bermuda — continued | ||||||||||
17,600 | Validus Holdings, Ltd. | 740,960 | ||||||||
400 | White Mountains Insurance Group, Ltd. | 273,808 | ||||||||
5,000 | Wing On Co. International, Ltd. | 16,542 | ||||||||
|
| |||||||||
Total Bermuda | 9,039,376 | |||||||||
|
| |||||||||
Canada — 4.4% | ||||||||||
30,360 | Agnico-Eagle Mines, Ltd. | 843,560 | ||||||||
21,000 | Bank of Montreal | 1,258,508 | ||||||||
700 | Bank of Nova Scotia (The) | 35,119 | ||||||||
77,060 | Barrick Gold Corp. | 844,578 | ||||||||
62,700 | BCE, Inc. | 2,655,972 | ||||||||
28,800 | Calloway Real Estate Investment Trust REIT | 661,729 | ||||||||
19,200 | Canadian Imperial Bank of Commerce‡ | 1,391,981 | ||||||||
45,835 | Canadian Natural Resources, Ltd. | 1,404,907 | ||||||||
27,200 | Canadian Tire Corp., Ltd. Class A | 2,771,114 | ||||||||
10,600 | Catamaran Corp.* | 631,124 | ||||||||
88,837 | Cenovus Energy, Inc. | 1,499,569 | ||||||||
22,400 | Cogeco Cable, Inc. | 1,201,093 | ||||||||
9,100 | Cogeco, Inc. | 396,764 | ||||||||
3,800 | DH Corp. | 116,085 | ||||||||
32,800 | Dollarama, Inc. | 1,833,589 | ||||||||
1,700 | Dream Office Real Estate Investment Trust REIT | 35,369 | ||||||||
83,300 | Emera, Inc. | 2,709,799 | ||||||||
26,300 | Empire Co., Ltd. | 1,833,836 | ||||||||
81,362 | Entertainment One, Ltd. | 365,365 | ||||||||
20,200 | George Weston, Ltd. | 1,600,050 | ||||||||
74,501 | Goldcorp, Inc. | 1,349,958 | ||||||||
1,900 | H&R Real Estate Investment Trust REIT | 35,000 | ||||||||
65,200 | Jean Coutu Group PJC, Inc. (The) Class A | 1,393,576 | ||||||||
178,686 | Kinross Gold Corp.* | 400,257 | ||||||||
84,100 | Manitoba Telecom Services, Inc.‡ | 1,594,347 | ||||||||
34,500 | North West Co., Inc. (The) | 681,828 | ||||||||
49,062 | Penn West Petroleum, Ltd.‡ | 80,952 | ||||||||
38,280 | Potash Corp. of Saskatchewan, Inc. | 1,234,530 | ||||||||
10,000 | Restaurant Brands International, Inc. | 384,100 | ||||||||
16,600 | Rogers Communications, Inc. Class B | 555,736 | ||||||||
21,000 | RONA, Inc. | 268,614 | ||||||||
18,200 | Royal Bank of Canada | 1,095,593 | ||||||||
17,200 | Saputo, Inc. | 472,745 | ||||||||
36,100 | Shaw Communications, Inc. Class B‡ | 810,077 | ||||||||
27,800 | Thomson Reuters Corp. | 1,127,568 | ||||||||
800 | Toronto-Dominion Bank | 34,242 | ||||||||
5,100 | Valener, Inc.‡ | 69,745 | ||||||||
|
| |||||||||
Total Canada | 35,678,979 | |||||||||
|
| |||||||||
Denmark — 0.7% | ||||||||||
15,003 | Carlsberg AS Class B | 1,238,028 | ||||||||
373 | Dfds AS | 39,627 | ||||||||
27,643 | ISS AS* | 870,301 |
132 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Denmark — continued | ||||||||||
34,364 | Novo Nordisk AS Class B | 1,837,753 | ||||||||
1,660 | Ringkjoebing Landbobank AS | 318,111 | ||||||||
3,531 | Royal Unibrew AS* | 591,884 | ||||||||
7,741 | Schouw & Co. | 370,580 | ||||||||
77,116 | TDC AS | 552,096 | ||||||||
1,278 | William Demant Holding AS* | 108,398 | ||||||||
|
| |||||||||
Total Denmark | 5,926,778 | |||||||||
|
| |||||||||
Faroe Islands — 0.0% | ||||||||||
10,386 | Bakkafrost P/F | 224,883 | ||||||||
|
| |||||||||
France — 2.5% | ||||||||||
2,090 | Bonduelle S.C.A. | 54,007 | ||||||||
45,004 | Bouygues SA | 1,766,135 | ||||||||
6,521 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 127,815 | ||||||||
41,796 | Carrefour SA | 1,395,596 | ||||||||
31,853 | Cie de Saint-Gobain | 1,399,023 | ||||||||
46,716 | Danone SA | 3,141,831 | ||||||||
3,831 | Eutelsat Communications SA | 126,870 | ||||||||
7,210 | Legrand SA | 389,810 | ||||||||
885 | Manutan International | 43,190 | ||||||||
6,735 | Neopost SA | 369,988 | ||||||||
12,641 | Rexel SA | 238,470 | ||||||||
77,392 | Sanofi | 7,641,128 | ||||||||
9,032 | Sodexo SA | 880,696 | ||||||||
672 | Stallergenes SA | 36,808 | ||||||||
25,228 | Total SA | 1,253,815 | ||||||||
1,748 | Vetoquinol SA | 67,772 | ||||||||
36,429 | Vivendi SA | 904,759 | ||||||||
4,367 | Wendel SA | 520,138 | ||||||||
|
| |||||||||
Total France | 20,357,851 | |||||||||
|
| |||||||||
Germany — 2.2% | ||||||||||
36,140 | alstria office REIT-AG* | 508,274 | ||||||||
15,982 | Aurubis AG‡ | 905,779 | ||||||||
63,053 | Celesio AG | 1,862,270 | ||||||||
2,484 | DaimlerChrysler AG | 239,383 | ||||||||
790 | Deutsche Euroshop AG | 39,258 | ||||||||
23,932 | Fielmann AG | 1,604,379 | ||||||||
3,127 | Fraport AG Frankfurt Airport Services Worldwide | 186,962 | ||||||||
1,676 | Hamburger Hafen und Logistik AG | 35,181 | ||||||||
31,629 | HeidelbergCement AG | 2,507,291 | ||||||||
918 | Homag Group AG | 35,375 | ||||||||
5,883 | Hornbach Baumarkt AG | 220,194 | ||||||||
25,823 | Merck KGaA | 2,899,579 | ||||||||
1,005 | Nemetschek AG | 130,172 | ||||||||
78,113 | Rhoen-Klinikum AG | 1,940,453 | ||||||||
49,773 | SAP SE | 3,609,896 | ||||||||
38,848 | Stada Arzneimittel AG | 1,297,369 |
See accompanying Notes to the Financial Statements. | 133 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Germany — continued | ||||||||||
807 | STRATEC Biomedical AG | 39,527 | ||||||||
11,838 | TLG Immobilien AG* | 185,688 | ||||||||
|
| |||||||||
Total Germany | 18,247,030 | |||||||||
|
| |||||||||
Hong Kong — 0.6% | ||||||||||
6,500 | Aeon Stores Hong Kong Co., Ltd. | 7,797 | ||||||||
116,000 | Champion REIT | 55,359 | ||||||||
322,000 | CLP Holdings, Ltd. | 2,807,566 | ||||||||
53,400 | Hang Seng Bank, Ltd. | 964,266 | ||||||||
25,000 | Hongkong & Shanghai Hotels (The) | 35,212 | ||||||||
65,000 | Hysan Development Co., Ltd. | 283,791 | ||||||||
33,000 | Miramar Hotel & Investment Co., Ltd. | 46,650 | ||||||||
3,500 | Power Assets Holdings, Ltd. | 35,641 | ||||||||
236,000 | Regal Real Estate Investment Trust REIT | 67,880 | ||||||||
90,000 | Shun Tak Holdings, Ltd. | 43,183 | ||||||||
982,000 | Sunlight Real Estate Investment Trust REIT | 477,508 | ||||||||
36,000 | Vitasoy International Holdings, Ltd. | 56,184 | ||||||||
|
| |||||||||
Total Hong Kong | 4,881,037 | |||||||||
|
| |||||||||
Ireland — 0.6% | ||||||||||
6,000 | Accenture Plc Class A | 562,140 | ||||||||
44,515 | CRH Plc | 1,156,445 | ||||||||
1,900 | Jazz Pharmaceuticals Plc* | 328,301 | ||||||||
14,864 | Kerry Group Plc | 997,746 | ||||||||
109,736 | UDG Healthcare Plc | 769,717 | ||||||||
20,227 | Willis Group Holdings Plc | 974,537 | ||||||||
|
| |||||||||
Total Ireland | 4,788,886 | |||||||||
|
| |||||||||
Israel — 0.6% | ||||||||||
61,748 | Delek Automotive Systems, Ltd. | 726,995 | ||||||||
63,255 | Israel Chemicals, Ltd. | 450,151 | ||||||||
35,943 | Osem Investments, Ltd. | 719,276 | ||||||||
54,155 | Plus500, Ltd. | 548,683 | ||||||||
39,238 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 2,444,528 | ||||||||
|
| |||||||||
Total Israel | 4,889,633 | |||||||||
|
| |||||||||
Italy — 0.3% | ||||||||||
64,726 | Amplifon Spa | 440,382 | ||||||||
29,287 | Italcementi Spa | 233,548 | ||||||||
768,501 | Parmalat Spa | 2,053,520 | ||||||||
|
| |||||||||
Total Italy | 2,727,450 | |||||||||
|
| |||||||||
Japan — 6.2% | ||||||||||
32 | Advance Residence Investment Corp. REIT | 76,875 | ||||||||
348,000 | ANA Holdings, Inc. | 933,804 | ||||||||
18,200 | Arcs Co., Ltd.‡ | 437,225 | ||||||||
124,700 | Astellas Pharma, Inc. | 2,045,839 | ||||||||
3,000 | AT-Group Co., Ltd. | 60,738 |
134 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
39,100 | Canon, Inc. | 1,385,006 | ||||||||
91,500 | Coca-Cola West Co., Ltd. | 1,515,272 | ||||||||
12,400 | Doutor Nichires Holdings Co., Ltd.‡ | 207,933 | ||||||||
27,000 | Dydo Drinco, Inc. | 1,086,304 | ||||||||
2,100 | Earth Chemical Co., Ltd. | 72,583 | ||||||||
1,600 | FamilyMart Co., Ltd. | 67,242 | ||||||||
13,400 | Fanuc, Ltd. | 2,933,083 | ||||||||
2,000 | Fuji Co., Ltd. | 34,438 | ||||||||
3,000 | Fujicco Co., Ltd. | 48,605 | ||||||||
29,400 | Geo Holdings Corp. | 311,099 | ||||||||
5,460 | Hirose Electric Co., Ltd. | 707,512 | ||||||||
53,400 | Hoya Corp. | 2,145,128 | ||||||||
11,000 | J-Oil Mills, Inc. | 38,341 | ||||||||
8,000 | Kaken Pharmaceutical Co., Ltd. | 232,145 | ||||||||
123,600 | KDDI Corp. | 2,803,867 | ||||||||
46,100 | Kewpie Corp. | 1,124,006 | ||||||||
4,400 | Keyence Corp. | 2,406,838 | ||||||||
1,000 | KFC Holdings Japan, Ltd. | 19,362 | ||||||||
2,000 | Kissei Pharmaceutical Co., Ltd. | 62,539 | ||||||||
1,000 | Kobayashi Pharmaceutical Co., Ltd. | 71,711 | ||||||||
515,000 | Kobe Steel, Ltd. | 953,346 | ||||||||
14,700 | Kose Corp. | 812,683 | ||||||||
377,000 | Lion Corp.‡ | 2,301,138 | ||||||||
3,300 | Maruha Nichiro Corp.‡ | 46,614 | ||||||||
26,500 | Megmilk Snow Brand Co., Ltd. | 319,304 | ||||||||
52,300 | Mitsubishi Estate Co., Ltd. | 1,215,427 | ||||||||
53,000 | Mitsubishi Tanabe Pharma Corp. | 911,286 | ||||||||
700 | Mochida Pharmaceutical Co., Ltd. | 46,054 | ||||||||
332,000 | Morinaga & Co., Ltd. | 1,168,264 | ||||||||
165,000 | Morinaga Milk Industry Co., Ltd. | 627,392 | ||||||||
51,900 | MS&AD Insurance Group Holdings‡ | 1,458,437 | ||||||||
7,700 | NEC Networks & System Integration Corp. | 155,252 | ||||||||
20,400 | Nichi-iko Pharmaceutical Co., Ltd. | 470,854 | ||||||||
8,000 | Nippon Flour Mills Co., Ltd. | 39,625 | ||||||||
105,200 | Nipro Corp. | 1,004,411 | ||||||||
671,000 | Nisshin Oillio Group, Ltd. (The) | 2,495,443 | ||||||||
11,800 | Nissin Foods Holdings Co., Ltd. | 581,513 | ||||||||
3,300 | Nitori Holdings Co., Ltd. | 223,990 | ||||||||
21,000 | Noevir Holdings Co., Ltd. | 421,664 | ||||||||
286 | Nomura Real Estate Master Fund, Inc. REIT | 355,816 | ||||||||
14,600 | Nomura Research Institute, Ltd. | 550,277 | ||||||||
69,800 | NTT DoCoMo, Inc. | 1,213,824 | ||||||||
5,900 | Okinawa Cellular Telephone Co. | 171,945 | ||||||||
5,900 | Oracle Corp. Japan | 254,351 | ||||||||
18,500 | Saizeriya Co., Ltd. | 358,199 | ||||||||
45,500 | Secom Co., Ltd. | 3,044,715 | ||||||||
13,700 | Shimano, Inc. | 2,042,577 | ||||||||
1,000 | Shin-Etsu Chemical Co., Ltd. | 65,458 | ||||||||
52,000 | Showa Sangyo Co., Ltd. | 200,325 |
See accompanying Notes to the Financial Statements. | 135 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Japan — continued | ||||||||||
6,700 | SMC Corp. | 2,002,597 | ||||||||
68,100 | Sompo Japan Nipponkoa Holdings, Inc. | 2,120,938 | ||||||||
26,000 | T-Gaia Corp. | 344,499 | ||||||||
9,000 | Toei Co., Ltd. | 67,017 | ||||||||
117,700 | United Super Markets Holdings, Inc.* | 1,046,222 | ||||||||
32,000 | Yamazaki Baking Co., Ltd.‡ | 578,228 | ||||||||
|
| |||||||||
Total Japan | 50,497,180 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
56,962 | Atento SA* | 677,278 | ||||||||
|
| |||||||||
Mexico — 0.3% | ||||||||||
70,580 | Grupo Televisa SAB, Sponsored ADR* | 2,329,846 | ||||||||
14,299 | Industrias Penoles SAB de CV | 248,619 | ||||||||
|
| |||||||||
Total Mexico | 2,578,465 | |||||||||
|
| |||||||||
Netherlands — 2.0% | ||||||||||
41,124 | Heineken Holding NV | 2,831,115 | ||||||||
100,236 | Koninklijke Ahold NV | 1,975,441 | ||||||||
31,525 | QIAGEN NV* | 794,430 | ||||||||
43,300 | Reed Elsevier NV | 1,078,432 | ||||||||
1,107 | Sligro Food Group NV | 43,883 | ||||||||
86,178 | TNT Express NV | 548,019 | ||||||||
195,865 | Unilever NV, ADR | 8,186,118 | ||||||||
5,664 | Vastned Retail NV REIT | 277,361 | ||||||||
24,670 | Wolters Kluwer NV | 805,465 | ||||||||
|
| |||||||||
Total Netherlands | 16,540,264 | |||||||||
|
| |||||||||
New Zealand — 1.3% | ||||||||||
806,553 | Air New Zealand, Ltd. | 1,648,173 | ||||||||
522,943 | Argosy Property, Ltd. | 447,057 | ||||||||
301,101 | Auckland International Airport, Ltd. | 1,016,080 | ||||||||
68,140 | Chorus, Ltd.* | 145,630 | ||||||||
146,364 | Contact Energy, Ltd. | 656,355 | ||||||||
7,919 | Ebos Group, Ltd. | 63,541 | ||||||||
270,252 | Fisher & Paykel Healthcare Corp., Ltd. | 1,333,516 | ||||||||
8,623 | Freightways, Ltd. | 40,544 | ||||||||
63,364 | Genesis Energy, Ltd. | 106,437 | ||||||||
531,194 | Infratil, Ltd. | 1,266,729 | ||||||||
3,890 | Mainfreight, Ltd. | 45,128 | ||||||||
537,043 | Meridian Energy, Ltd. | 815,525 | ||||||||
381,197 | Mighty River Power, Ltd. | 886,165 | ||||||||
290,401 | Precinct Properties New Zealand, Ltd.‡ | 255,882 | ||||||||
266,306 | Sky Network Television, Ltd. | 1,180,244 | ||||||||
282,616 | Spark New Zealand, Ltd. | 631,563 | ||||||||
2,773 | TrustPower, Ltd. | 16,532 | ||||||||
62,607 | Vector, Ltd. | 144,603 | ||||||||
9,010 | Warehouse Group, Ltd. (The) | 17,973 |
136 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
New Zealand — continued | ||||||||||
67,197 | Z Energy, Ltd. | 258,506 | ||||||||
|
| |||||||||
Total New Zealand | 10,976,183 | |||||||||
|
| |||||||||
Norway — 1.0% | ||||||||||
463,604 | Norsk Hydro ASA | 2,438,507 | ||||||||
337,530 | Orkla ASA | 2,552,699 | ||||||||
139,893 | Telenor ASA | 2,827,682 | ||||||||
|
| |||||||||
Total Norway | 7,818,888 | |||||||||
|
| |||||||||
Russia — 0.1% | ||||||||||
76,731 | Gazprom OAO, Sponsored ADR | 364,779 | ||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
210,000 | Fortune Real Estate Investment Trust REIT | 220,752 | ||||||||
53,800 | Fraser and Neave, Ltd. | 110,212 | ||||||||
14,900 | Great Eastern Holdings, Ltd. | 270,475 | ||||||||
15,200 | Hong Leong Finance, Ltd. | 28,478 | ||||||||
175,600 | Singapore Airlines, Ltd. | 1,529,795 | ||||||||
218,700 | StarHub, Ltd. | 693,552 | ||||||||
24,300 | Venture Corp., Ltd. | 151,465 | ||||||||
126,400 | Wilmar International, Ltd. | 300,404 | ||||||||
|
| |||||||||
Total Singapore | 3,305,133 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
69,099 | AngloGold Ashanti, Ltd., Sponsored ADR* | 645,384 | ||||||||
70,875 | Gold Fields, Ltd., Sponsored ADR‡ | 284,209 | ||||||||
|
| |||||||||
Total South Africa | 929,593 | |||||||||
|
| |||||||||
South Korea — 0.3% | ||||||||||
18,985 | Kia Motors Corp. | 773,466 | ||||||||
18,488 | KT&G Corp. | 1,478,107 | ||||||||
238 | Lotte Confectionery Co., Ltd. | 382,705 | ||||||||
|
| |||||||||
Total South Korea | 2,634,278 | |||||||||
|
| |||||||||
Spain — 0.8% | ||||||||||
2,061 | Cia de Distribucion Integral Logista Holdings SA* | 44,481 | ||||||||
12,027 | Ebro Foods SA | 224,239 | ||||||||
26,500 | Endesa SA | 512,298 | ||||||||
422,865 | Iberdrola SA | 2,725,849 | ||||||||
187,145 | Telefonica SA | 2,665,176 | ||||||||
|
| |||||||||
Total Spain | 6,172,043 | |||||||||
|
| |||||||||
Sweden — 1.1% | ||||||||||
11,026 | Axfood AB‡ | 582,365 | ||||||||
7,647 | Clas Ohlson AB Class B | 124,361 | ||||||||
66,224 | Granges AB* | 531,770 | ||||||||
69,361 | Hennes & Mauritz AB Class B | 2,810,938 | ||||||||
15,385 | Holmen AB Class B | 519,134 |
See accompanying Notes to the Financial Statements. | 137 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
Sweden — continued | ||||||||||
41,578 | Investor AB Class B | 1,657,036 | ||||||||
2,482 | Recipharm AB Class B* | 52,811 | ||||||||
111,078 | Svenska Cellulosa AB Class B | 2,559,261 | ||||||||
17,468 | Swedish Match AB | 513,666 | ||||||||
|
| |||||||||
Total Sweden | 9,351,342 | |||||||||
|
| |||||||||
Switzerland — 2.9% | ||||||||||
18,700 | Allied World Assurance Co. Holdings AG | 755,480 | ||||||||
7,658 | Allreal Holding AG* | 1,119,568 | ||||||||
3,593 | Alpiq Holding AG* ‡ | 289,645 | ||||||||
397 | APG SGA SA | 151,128 | ||||||||
876 | Banque Cantonale de Geneve | 215,550 | ||||||||
2,293 | Basler Kantonalbank | 176,584 | ||||||||
18 | Bell AG | 46,422 | ||||||||
85 | Flughafen Zuerich AG | 67,034 | ||||||||
3,179 | Galenica AG | 2,781,993 | ||||||||
330 | Graubuendner Kantonalbank | 505,889 | ||||||||
2,088 | Intershop Holdings | 859,879 | ||||||||
779 | Kaba Holding AG* | 469,581 | ||||||||
1,792 | Kuehne + Nagel International AG | 266,595 | ||||||||
3,279 | Mobimo Holding AG* | 774,429 | ||||||||
144,881 | Nestle SA | 10,948,487 | ||||||||
367 | Novartis AG | 36,330 | ||||||||
12,624 | Swiss Prime Site AG* | 1,098,248 | ||||||||
4,028 | Swisscom AG | 2,340,992 | ||||||||
1,498 | Tamedia AG | 262,493 | ||||||||
637 | Thurgauer Kantonalbank* | 51,646 | ||||||||
1,679 | Valora Holding AG* | 375,109 | ||||||||
44 | Walliser Kantonalbank | 33,658 | ||||||||
32 | Zug Estates Holding AG Class B* | 46,519 | ||||||||
|
| |||||||||
Total Switzerland | 23,673,259 | |||||||||
|
| |||||||||
Thailand — 0.1% | ||||||||||
129,800 | Bangkok Bank PCL, NVDR | 735,959 | ||||||||
|
| |||||||||
United Kingdom — 5.8% | ||||||||||
15,590 | Anglo American Plc | 234,211 | ||||||||
13,000 | Aon Plc | 1,249,560 | ||||||||
7,830 | Atrium European Real Estate, Ltd.* | 36,589 | ||||||||
21,548 | Berkeley Group Holdings Plc | 844,164 | ||||||||
14,875 | BHP Billiton Plc | 325,378 | ||||||||
62,118 | British American Tobacco Plc | 3,216,894 | ||||||||
9,222 | Carnival Plc | 451,225 | ||||||||
39,771 | Centrica Plc | 149,371 | ||||||||
14,927 | Cranswick Plc | 304,245 | ||||||||
104,433 | Debenhams Plc | 116,738 | ||||||||
7,565 | Dechra Pharmaceuticals Plc | 113,089 | ||||||||
24,761 | Diageo Plc | 683,510 | ||||||||
2,896 | EMIS Group Plc | 37,123 |
138 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United Kingdom — continued | ||||||||||
12,995 | Evraz Plc | 36,209 | ||||||||
67,237 | Fresnillo Plc | 681,226 | ||||||||
7,960 | Genus Plc | 161,770 | ||||||||
109,234 | GlaxoSmithKline Plc | 2,506,962 | ||||||||
109,445 | Greggs Plc | 1,660,456 | ||||||||
5,143 | Hikma Pharmaceuticals Plc | 162,621 | ||||||||
59,539 | Imperial Tobacco Group Plc | 2,618,869 | ||||||||
166,710 | Inchcape Plc | 1,967,475 | ||||||||
119,772 | Indivior Plc* | 337,823 | ||||||||
330,252 | Intu Properties Plc REIT | 1,706,103 | ||||||||
7,089 | Kingfisher Plc | 40,053 | ||||||||
23,286 | Liberty Global Plc Series C* | 1,159,876 | ||||||||
2,851 | Liberty Global Plc Class A* | 146,741 | ||||||||
6,037,720 | Lloyds TSB Group Plc* | 7,016,238 | ||||||||
15,090 | Londonmetric Property Plc REIT | 36,245 | ||||||||
95,831 | Lookers Plc | 204,500 | ||||||||
204,055 | National Grid Plc | 2,619,348 | ||||||||
15,842 | Next Plc | 1,652,102 | ||||||||
15,990 | Reckitt Benckiser Group Plc | 1,376,756 | ||||||||
187,459 | Rentokil Initial Plc | 380,413 | ||||||||
1,183 | Severn Trent Plc | 36,159 | ||||||||
114,092 | SSE Plc | 2,537,158 | ||||||||
20,407 | Stock Spirits Group Plc | 62,558 | ||||||||
25,712 | Synergy Health Plc | 887,441 | ||||||||
2,589,739 | Tesco Plc | 9,297,851 | ||||||||
1,857 | WH Smith Plc | 35,810 | ||||||||
155,871 | WM Morrison Supermarkets Plc | 447,741 | ||||||||
|
| |||||||||
Total United Kingdom | 47,538,601 | |||||||||
|
| |||||||||
United States — 47.0% | ||||||||||
25,811 | 3M Co. | 4,257,524 | ||||||||
37,400 | Abbott Laboratories | 1,732,742 | ||||||||
7,100 | AbbVie, Inc. | 415,634 | ||||||||
4,800 | Adobe Systems, Inc.* | 354,912 | ||||||||
4,400 | Advance Auto Parts, Inc. | 658,636 | ||||||||
13,700 | Aetna, Inc. | 1,459,461 | ||||||||
12,000 | AGL Resources, Inc. | 595,800 | ||||||||
4,700 | Airgas, Inc. | 498,717 | ||||||||
4,400 | Akamai Technologies, Inc.* | 312,598 | ||||||||
9,600 | Alexandria Real Estate Equities, Inc. REIT | 941,184 | ||||||||
3,089 | Alleghany Corp.* | 1,504,343 | ||||||||
11,100 | Alliant Energy Corp. | 699,300 | ||||||||
11,442 | Altera Corp. | 490,976 | ||||||||
41,000 | Altria Group, Inc. | 2,050,820 | ||||||||
300 | Amazon.com, Inc.* | 111,630 | ||||||||
21,600 | Amdocs, Ltd. | 1,175,040 | ||||||||
25,100 | Ameren Corp. | 1,059,220 | ||||||||
16,200 | American Campus Communities, Inc. REIT | 694,494 | ||||||||
45,700 | American Capital Agency Corp. REIT | 974,781 |
See accompanying Notes to the Financial Statements. | 139 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
21,000 | American Electric Power Co., Inc. | 1,181,250 | ||||||||
46,894 | American Express Co. | 3,663,359 | ||||||||
16,000 | American Financial Group, Inc. | 1,026,400 | ||||||||
28,700 | American Homes 4 Rent Class A REIT | 474,985 | ||||||||
18,722 | American International Group, Inc. | 1,025,778 | ||||||||
12,900 | AmerisourceBergen Corp. | 1,466,343 | ||||||||
99,000 | Annaly Capital Management, Inc. REIT | 1,029,600 | ||||||||
12,700 | ANSYS, Inc.* | 1,120,013 | ||||||||
12,660 | Anthem, Inc. | 1,954,831 | ||||||||
8,000 | Apple, Inc. | 995,440 | ||||||||
7,300 | Aramark | 230,899 | ||||||||
4,900 | Archer-Daniels-Midland Co. | 232,260 | ||||||||
22,600 | Arthur J. Gallagher & Co. | 1,056,550 | ||||||||
72,900 | AT&T, Inc. | 2,380,185 | ||||||||
8,791 | Automatic Data Processing, Inc. | 752,861 | ||||||||
2,900 | AutoNation, Inc.* | 186,557 | ||||||||
1,900 | AutoZone, Inc.* | 1,296,104 | ||||||||
9,400 | Avnet, Inc. | 418,300 | ||||||||
14,200 | Bank of Hawaii Corp. | 869,182 | ||||||||
218,608 | Bank of New York Mellon Corp. (The) | 8,796,786 | ||||||||
20,300 | Baxter International, Inc. | 1,390,550 | ||||||||
44,498 | BB&T Corp. | 1,734,977 | ||||||||
2,600 | Becton Dickinson and Co. | 373,334 | ||||||||
10,275 | Bed Bath & Beyond, Inc.* | 788,863 | ||||||||
8 | Berkshire Hathaway, Inc. Class A* | 1,740,000 | ||||||||
14,500 | Berkshire Hathaway, Inc. Class B* | 2,092,640 | ||||||||
5,600 | Bio-Rad Laboratories, Inc. Class A* | 757,008 | ||||||||
5,900 | Bio-Techne Corp. | 591,711 | ||||||||
14,800 | Brinker International, Inc. | 911,088 | ||||||||
14,100 | Bristol-Myers Squibb Co. | 909,450 | ||||||||
10,500 | Broadcom Corp. Class A | 454,598 | ||||||||
18,100 | Broadridge Financial Solutions, Inc. | 995,681 | ||||||||
12,048 | Brown & Brown, Inc. | 398,909 | ||||||||
34,700 | CA, Inc. | 1,131,567 | ||||||||
4,400 | Campbell Soup Co. | 204,820 | ||||||||
16,600 | Cardinal Health, Inc. | 1,498,482 | ||||||||
31,800 | CenturyLink, Inc. | 1,098,690 | ||||||||
700 | Chipotle Mexican Grill, Inc.* | 455,378 | ||||||||
11,300 | Chubb Corp. (The) | 1,142,430 | ||||||||
6,300 | Cigna Corp. | 815,472 | ||||||||
25,915 | Cincinnati Financial Corp. | 1,380,751 | ||||||||
26,589 | Cintas Corp. | 2,170,460 | ||||||||
10,100 | Clorox Co. (The) | 1,114,939 | ||||||||
12,100 | Coca-Cola Co. (The) | 490,655 | ||||||||
2,900 | Coca-Cola Enterprises, Inc. | 128,180 | ||||||||
27,824 | Colgate-Palmolive Co. | 1,929,316 | ||||||||
60,361 | Comcast Corp. Class A | 3,384,140 | ||||||||
5,696 | Commvault Systems, Inc.* | 248,915 | ||||||||
4,300 | Compass Minerals International, Inc. | 400,803 |
140 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
11,500 | ConAgra Foods, Inc. | 420,095 | ||||||||
19,943 | ConocoPhillips | 1,241,651 | ||||||||
18,000 | Consolidated Edison, Inc. | 1,098,000 | ||||||||
17,000 | Corporate Office Properties Trust REIT | 499,460 | ||||||||
10,500 | Costco Wholesale Corp. | 1,590,698 | ||||||||
16,000 | Covanta Holding Corp. | 358,880 | ||||||||
6,500 | CR Bard, Inc. | 1,087,775 | ||||||||
5,600 | Crown Castle International Corp. REIT | 462,224 | ||||||||
14,600 | CST Brands, Inc. | 639,918 | ||||||||
19,400 | CVS Health Corp. | 2,002,274 | ||||||||
17,400 | Darden Restaurants, Inc. | 1,206,516 | ||||||||
13,300 | DaVita HealthCare Partners, Inc.* | 1,081,024 | ||||||||
11,675 | Deere & Co. | 1,023,781 | ||||||||
5,800 | DENTSPLY International, Inc. | 295,162 | ||||||||
22,362 | Devon Energy Corp. | 1,348,652 | ||||||||
8,200 | Dollar General Corp.* | 618,116 | ||||||||
15,100 | Dr Pepper Snapple Group, Inc. | 1,185,048 | ||||||||
5,700 | DST Systems, Inc. | 631,047 | ||||||||
13,800 | DTE Energy Co. | 1,113,522 | ||||||||
17,000 | Duke Energy Corp. | 1,305,260 | ||||||||
268,286 | eBay, Inc.* | 15,474,737 | ||||||||
18,400 | Edison International | 1,149,448 | ||||||||
6,200 | Edwards Lifesciences Corp.* | 883,252 | ||||||||
23,800 | Eli Lilly & Co. | 1,729,070 | ||||||||
14,000 | Entergy Corp. | 1,084,860 | ||||||||
12,900 | Equity LifeStyle Properties, Inc. REIT | 708,855 | ||||||||
2,100 | Erie Indemnity Co. Class A | 183,246 | ||||||||
900 | Facebook, Inc. Class A* | 73,994 | ||||||||
2,700 | FedEx Corp. | 446,715 | ||||||||
36,200 | First Niagara Financial Group, Inc. | 320,008 | ||||||||
9,553 | Flowserve Corp. | 539,649 | ||||||||
10,200 | General Dynamics Corp. | 1,384,446 | ||||||||
24,900 | General Mills, Inc. | 1,409,340 | ||||||||
13,320 | Google, Inc. Class A* | 7,388,604 | ||||||||
5,220 | Google, Inc. Class C* | 2,860,560 | ||||||||
11,952 | H&R Block, Inc. | 383,301 | ||||||||
9,100 | Hanover Insurance Group, Inc. (The) | 660,478 | ||||||||
25,900 | HCP, Inc. REIT | 1,119,139 | ||||||||
9,200 | Health Care REIT, Inc. | 711,712 | ||||||||
9,800 | Health Net, Inc.* | 592,802 | ||||||||
20,300 | Healthcare Trust of America, Inc. REIT Class A | 565,558 | ||||||||
8,000 | Henry Schein, Inc.* | 1,116,960 | ||||||||
6,100 | Hill-Rom Holdings, Inc. | 298,900 | ||||||||
89,808 | Home Depot, Inc. (The) | 10,203,087 | ||||||||
9,300 | Home Properties, Inc. REIT | 644,397 | ||||||||
16,900 | Honeywell International, Inc. | 1,762,839 | ||||||||
10,600 | Hormel Foods Corp. | 602,610 | ||||||||
22,800 | Hospitality Properties Trust REIT | 752,172 | ||||||||
4,100 | Humana, Inc. | 729,882 |
See accompanying Notes to the Financial Statements. | 141 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
8,300 | Huntington Ingalls Industries, Inc. | 1,163,245 | ||||||||
14,300 | IAC/InterActiveCorp | 964,821 | ||||||||
7,700 | Ingredion, Inc. | 599,214 | ||||||||
332,520 | Intel Corp. | 10,397,900 | ||||||||
76,758 | International Business Machines Corp. | 12,319,659 | ||||||||
14,200 | Intuit, Inc. | 1,376,832 | ||||||||
13,000 | Jack Henry & Associates, Inc. | 908,570 | ||||||||
31,796 | Johnson & Johnson | 3,198,678 | ||||||||
3,300 | Jones Lang Lasalle, Inc. | 562,320 | ||||||||
9,900 | Kellogg Co. | 652,905 | ||||||||
13,600 | Kimberly-Clark Corp. | 1,456,696 | ||||||||
3,000 | Kohl’s Corp. | 234,750 | ||||||||
18,500 | Kroger Co. (The) | 1,418,210 | ||||||||
6,700 | Leidos Holdings, Inc. | 281,132 | ||||||||
40,264 | Linear Technology Corp. | 1,884,355 | ||||||||
15,645 | Lockheed Martin Corp. | 3,175,309 | ||||||||
182,769 | Lowe’s Cos., Inc. | 13,596,186 | ||||||||
2,100 | M&T Bank Corp. | 266,700 | ||||||||
4,400 | Macy’s, Inc. | 285,604 | ||||||||
600 | Markel Corp.* | 461,376 | ||||||||
6,753 | Martin Marietta Materials, Inc. | 944,069 | ||||||||
71,081 | Mastercard, Inc. Class A | 6,140,688 | ||||||||
24,800 | Maxim Integrated Products, Inc. | 863,288 | ||||||||
5,200 | McCormick & Co., Inc. | 400,972 | ||||||||
32,095 | McDonald’s Corp. | 3,127,337 | ||||||||
7,100 | McKesson Corp. | 1,606,020 | ||||||||
40,600 | Merck & Co., Inc. | 2,333,688 | ||||||||
7,000 | Mercury General Corp. | 404,250 | ||||||||
900 | Mettler-Toledo International, Inc.* | 295,785 | ||||||||
491,001 | Microsoft Corp. | 19,961,646 | ||||||||
10,600 | Mid-America Apartment Communities, Inc. REIT | 819,062 | ||||||||
8,300 | Murphy USA, Inc.* | 600,671 | ||||||||
15,500 | National Instruments Corp. | 496,620 | ||||||||
47,164 | National Oilwell Varco, Inc. | 2,357,728 | ||||||||
40,200 | New York Community Bancorp, Inc. | 672,546 | ||||||||
6,907 | Newmont Mining Corp. | 149,951 | ||||||||
2,500 | NIKE, Inc. Class B | 250,825 | ||||||||
17,400 | Northern Trust Corp. | 1,211,910 | ||||||||
18,970 | Northrop Grumman Corp. | 3,053,411 | ||||||||
22,883 | NOW, Inc.* ‡ | 495,188 | ||||||||
5,900 | O’Reilly Automotive, Inc.* | 1,275,816 | ||||||||
43,142 | Omnicom Group, Inc. | 3,364,213 | ||||||||
259,634 | Oracle Corp. | 11,203,207 | ||||||||
11,197 | Orbital ATK, Inc. | 858,026 | ||||||||
5,500 | Panera Bread Co. Class A* | 879,973 | ||||||||
18,700 | Patterson Cos., Inc. | 912,373 | ||||||||
33,200 | People’s United Financial, Inc. | 504,640 | ||||||||
20,800 | PepsiCo, Inc. | 1,988,896 | ||||||||
67,700 | Pfizer, Inc. | 2,355,283 |
142 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
22,000 | PG&E Corp. | 1,167,540 | ||||||||
28,100 | Philip Morris International, Inc. | 2,116,773 | ||||||||
409 | Phillips 66 | 32,147 | ||||||||
27,800 | Piedmont Office Realty Trust, Inc. REIT Class A | 517,358 | ||||||||
16,800 | Pinnacle Foods, Inc. | 685,608 | ||||||||
16,000 | Pinnacle West Capital Corp. | 1,020,000 | ||||||||
39,576 | Plum Creek Timber Co., Inc. REIT | 1,719,577 | ||||||||
9,400 | Post Properties, Inc. REIT | 535,142 | ||||||||
3,200 | PPG Industries, Inc. | 721,728 | ||||||||
29,000 | Procter & Gamble Co. (The) | 2,376,260 | ||||||||
41,400 | Progressive Corp. (The) | 1,126,080 | ||||||||
29,200 | Public Service Enterprise Group, Inc. | 1,224,064 | ||||||||
5,800 | Public Storage REIT | 1,143,412 | ||||||||
44,297 | QUALCOMM, Inc. | 3,071,554 | ||||||||
3,500 | Quest Diagnostics, Inc. | 268,975 | ||||||||
26,800 | Republic Services, Inc. | 1,087,008 | ||||||||
38,000 | Retail Properties of America, Inc. REIT Class A | 609,140 | ||||||||
18,600 | Reynolds American, Inc. | 1,281,726 | ||||||||
2,400 | Rockwell Collins, Inc. | 231,720 | ||||||||
4,672 | San Juan Basin Royalty Trust | 55,924 | ||||||||
18,752 | Scotts Miracle-Gro Co. (The) Class A | 1,259,572 | ||||||||
4,200 | Sherwin-Williams Co. (The) | 1,194,900 | ||||||||
1,400 | SolarWinds, Inc.* | 71,736 | ||||||||
9,700 | Southern Co. (The) | 429,516 | ||||||||
14,800 | Starbucks Corp. | 1,401,560 | ||||||||
75,953 | State Street Corp. | 5,584,824 | ||||||||
8,000 | Stericycle, Inc.* | 1,123,440 | ||||||||
13,600 | Stryker Corp. | 1,254,600 | ||||||||
24,200 | Synopsys, Inc.* | 1,120,944 | ||||||||
31,400 | Sysco Corp. | 1,184,722 | ||||||||
116,741 | Target Corp. | 9,580,934 | ||||||||
8,900 | Teleflex, Inc. | 1,075,387 | ||||||||
37,357 | Teradata Corp.* | 1,648,938 | ||||||||
25,100 | Texas Instruments, Inc. | 1,435,344 | ||||||||
13,100 | TFS Financial Corp. | 192,308 | ||||||||
8,632 | Timken Co. (The) | 363,753 | ||||||||
11,700 | Travelers Cos., Inc. (The) | 1,265,121 | ||||||||
16,900 | Two Harbors Investment Corp. REIT | 179,478 | ||||||||
19,100 | UGI Corp. | 622,469 | ||||||||
500 | Ulta Salon Cosmetics & Fragrance, Inc.* | 75,425 | ||||||||
14,700 | UnitedHealth Group, Inc. | 1,738,863 | ||||||||
37,197 | US Bancorp | 1,624,393 | ||||||||
7,700 | Valspar Corp. (The) | 647,031 | ||||||||
16,000 | Vectren Corp. | 706,240 | ||||||||
11,900 | Ventas, Inc. REIT | 868,938 | ||||||||
14,900 | VeriSign, Inc.* | 997,853 | ||||||||
11,600 | Verisk Analytics, Inc. Class A* | 828,240 | ||||||||
47,600 | Verizon Communications, Inc. | 2,314,788 | ||||||||
167,866 | Visa, Inc. Class A | 10,980,115 |
See accompanying Notes to the Financial Statements. | 143 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Shares | Description | Value ($) | ||||||||
United States — continued | ||||||||||
19,666 | Vista Outdoor, Inc.* | 842,098 | ||||||||
9,544 | Vulcan Materials Co. | 804,559 | ||||||||
1,695 | W.W. Grainger, Inc. | 399,698 | ||||||||
44,245 | Wal-Mart Stores, Inc. | 3,639,151 | ||||||||
4,400 | Walgreens Boots Alliance, Inc. | 372,592 | ||||||||
17,500 | Waste Connections, Inc. | 842,450 | ||||||||
22,100 | Waste Management, Inc. | 1,198,483 | ||||||||
130,811 | Wells Fargo & Co. | 7,116,118 | ||||||||
39,783 | Weyerhaeuser Co. REIT | 1,318,806 | ||||||||
13,200 | WP Carey, Inc. REIT | 897,600 | ||||||||
25,375 | WR Berkley Corp. | 1,281,691 | ||||||||
28,296 | Xilinx, Inc. | 1,196,921 | ||||||||
146,703 | Yum! Brands, Inc. | 11,548,460 | ||||||||
1,800 | Zimmer Holdings, Inc. | 211,536 | ||||||||
|
| |||||||||
Total United States | 385,034,901 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (COST $658,192,092) | 701,695,803 | |||||||||
|
| |||||||||
INVESTMENT COMPANY — 1.3% | ||||||||||
United States — 1.3% | ||||||||||
89,602 | SPDR Gold Shares* ‡ | 10,184,163 | ||||||||
|
| |||||||||
TOTAL INVESTMENT COMPANY (COST $11,428,492) | 10,184,163 | |||||||||
|
| |||||||||
PREFERRED STOCKS — 0.4% | ||||||||||
Germany — 0.4% | ||||||||||
24,574 | Henkel AG & Co. KGaA, 1.09% | 2,891,295 | ||||||||
2,860 | Hornbach Holding AG, 1.06% | 225,089 | ||||||||
|
| |||||||||
Total Germany | 3,116,384 | |||||||||
|
| |||||||||
Japan — 0.0% | ||||||||||
144 | Shinkin Central Bank, 2.72% | 287,220 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (COST $3,028,013) | 3,403,604 | |||||||||
|
| |||||||||
RIGHTS — 0.0% | ||||||||||
Spain — 0.0% | ||||||||||
187,145 | Telefonica SA, Strike Price EUR 10.84, Expires 04/10/15* | 30,149 | ||||||||
|
| |||||||||
TOTAL RIGHTS (COST $—) | 30,149 | |||||||||
|
| |||||||||
WARRANTS — 0.1% | ||||||||||
United States — 0.1% | ||||||||||
34,589 | JPMorgan Chase & Co., Strike Price $0.00, Expires 10/28/18* | 761,304 | ||||||||
|
| |||||||||
TOTAL WARRANTS (COST $520,146) | 761,304 | |||||||||
|
|
144 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
(showing percentage of net assets)
March 31, 2015
Par Value** | Description | Value ($) | ||||||||
DEBT OBLIGATIONS — 0.2% | ||||||||||
Sovereign Debt Obligations — 0.2% | ||||||||||
4,360,000 | MXN | Mexican Bonos, 4.75%, due 06/14/18 | 286,704 | |||||||
3,806,100 | MXN | Mexican Bonos, 5.00%, due 12/11/19 | 247,100 | |||||||
734,000 | SGD | Singapore Government Bond, 2.38%, due 04/01/17 | 545,751 | |||||||
773,000 | SGD | Singapore Government Bond, 0.50%, due 04/01/18 | 546,996 | |||||||
251,000 | SGD | Singapore Government Bond, 3.25%, due 09/01/20 | 194,633 | |||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT OBLIGATIONS (COST $1,995,559) | 1,821,184 | |||||||||
|
| |||||||||
TOTAL DEBT OBLIGATIONS (COST $1,995,559) | 1,821,184 | |||||||||
|
| |||||||||
Par Value ($) | Description | Value ($) | ||||||||
SHORT-TERM INVESTMENTS — 15.0% | ||||||||||
Bank Deposit — 12.2% | ||||||||||
99,859,870 | State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/15 | 99,859,870 | ||||||||
|
| |||||||||
Securities Lending Collateral — 2.8% | ||||||||||
23,028,187 | State Street Institutional U.S. Government Money Market Fund, Premier Class*** | 23,028,187 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (COST $122,888,057) | 122,888,057 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 102.7% (Cost $798,052,359) | 840,784,264 | |||||||||
Other Assets and Liabilities (net) — (2.7)% | (21,732,328 | ) | ||||||||
|
| |||||||||
NET ASSETS — 100.0% | $ | 819,051,936 | ||||||||
|
| |||||||||
Notes to Schedule of Investments: | ||||||||||
ADR — American Depository Receipt | ||||||||||
NVDR — Non-Voting Depository Receipt | ||||||||||
REIT — Real Estate Investment Trust | ||||||||||
* | Non-income producing security | |||||||||
** | Unless otherwise indicated, all par values are denominated in United States dollars ($). | |||||||||
*** | Represents an investment of securities lending cash collateral. | |||||||||
‡ | All or a portion of this security is out on loan. |
See accompanying Notes to the Financial Statements. | 145 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2015
A summary of outstanding financial instruments at March 31, 2015 is as follows:
Forward Foreign Currency Contracts
Settlement | Currency | Counterparty | Units of | Value | Unrealized | |||||||||||||||
Buys | ||||||||||||||||||||
04/15/15 | EUR | UBS AG | 678,000 | $ | 728,296 | $ | (6,941 | ) | ||||||||||||
05/20/15 | GBP | JPMorgan Chase Bank | 39,000 | 57,877 | (2,795 | ) | ||||||||||||||
04/15/15 | GBP | UBS AG | 32,000 | 47,500 | (715 | ) | ||||||||||||||
04/15/15 | JPY | UBS AG | 94,541,000 | 788,480 | (2,433 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (12,884 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Sales | ||||||||||||||||||||
05/20/15 | EUR | JPMorgan Chase Bank | 658,000 | $ | 707,140 | $ | 114,586 | |||||||||||||
04/15/15 | EUR | UBS AG | 913,000 | 980,730 | 178,251 | |||||||||||||||
06/17/15 | GBP | Bank of New York | 106,000 | 157,275 | 3,843 | |||||||||||||||
05/20/15 | GBP | JPMorgan Chase Bank | 104,000 | 154,338 | 8,744 | |||||||||||||||
04/15/15 | GBP | UBS AG | 80,000 | 118,750 | 7,343 | |||||||||||||||
05/20/15 | JPY | JPMorgan Chase Bank | 89,179,000 | 744,104 | 6,256 | |||||||||||||||
04/15/15 | JPY | UBS AG | 166,152,000 | 1,385,721 | 164,812 | |||||||||||||||
|
| |||||||||||||||||||
$ | 483,835 | |||||||||||||||||||
|
|
Currency Abbreviations
EUR | Euro |
GBP | British Pound Sterling |
JPY | Japanese Yen |
MXN | Mexican Peso |
SGD | Singapore Dollar |
Futures Contracts
Number of | Type | Expiration Date | Contract | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||
10 | Canadian Dollar | June 2015 | $ | 789,200 | $ | 1,250 | ||||||||||||
128 | MSCI EAFE E-mini Index | June 2015 | 11,711,360 | 24,335 | ||||||||||||||
176 | S&P 500 E-mini Index | June 2015 | 18,135,040 | 4,223 | ||||||||||||||
6 | S&P/TSX 60 Index | June 2015 | 819,866 | 7,477 | ||||||||||||||
|
| |||||||||||||||||
$ | 37,285 | |||||||||||||||||
|
|
146 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Retail | 10.2 | ||||
Food | 9.0 | ||||
Pharmaceuticals | 5.3 | ||||
Banks | 5.1 | ||||
Software | 5.0 | ||||
Telecommunications | 4.0 | ||||
Electric | 3.9 | ||||
Internet | 3.4 | ||||
Commercial Services | 3.3 | ||||
Insurance | 3.3 | ||||
REITS | 3.1 | ||||
Computers | 2.2 | ||||
Semiconductors | 2.2 | ||||
Agriculture | 1.9 | ||||
Media | 1.7 | ||||
Beverages | 1.5 | ||||
Health Care — Products | 1.5 | ||||
Electronics | 1.4 | ||||
Commodity Fund | 1.3 | ||||
Health Care — Services | 1.3 | ||||
Oil & Gas | 1.2 | ||||
Aerospace & Defense | 1.1 | ||||
Household Products & Wares | 1.1 | ||||
Mining | 1.1 | ||||
Cosmetics & Personal Care | 1.0 | ||||
Diversified Financial Services | 0.9 | ||||
Real Estate | 0.9 | ||||
Building Materials | 0.8 | ||||
Miscellaneous — Manufacturing | 0.8 | ||||
Chemicals | 0.7 | ||||
Airlines | 0.5 | ||||
Holding Companies — Diversified | 0.5 | ||||
Leisure Time | 0.5 | ||||
Metal Fabricate & Hardware | 0.5 | ||||
Advertising | 0.4 | ||||
Engineering & Construction | 0.4 | ||||
Environmental Control | 0.4 | ||||
Forest Products & Paper | 0.4 | ||||
Machinery — Diversified | 0.4 | ||||
Oil & Gas Services | 0.4 | ||||
Transportation | 0.4 | ||||
Distribution & Wholesale | 0.3 | ||||
Gas | 0.3 | ||||
Hand & Machine Tools | 0.3 | ||||
Iron & Steel | 0.3 | ||||
Textiles | 0.3 | ||||
Biotechnology | 0.2 | ||||
Investment Companies | 0.2 | ||||
Sovereign | 0.2 | ||||
Auto Manufacturers | 0.1 | ||||
Electrical Components & Equipment | 0.1 |
See accompanying Notes to the Financial Statements. | 147 |
Table of Contents
Mercer Global Low Volatility Equity Fund
Schedule of Investments (Continued)
March 31, 2015
Industry Sector Summary (Unaudited) | % of Net Assets | ||||
Home Builders | 0.1 | ||||
Packaging & Containers | 0.1 | ||||
Savings & Loans | 0.1 | ||||
Shipbuilding | 0.1 | ||||
Apparel | 0.0 | ||||
Auto Parts & Equipment | 0.0 | ||||
Energy-Alternate Sources | 0.0 | ||||
Entertainment | 0.0 | ||||
Lodging | 0.0 | ||||
Office & Business Equipment | 0.0 | ||||
Water | 0.0 | ||||
Short-Term Investments and Other Assets and Liabilities (net) | 12.3 | ||||
|
| ||||
100.0 | % | ||||
|
|
148 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities
March 31, 2015
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 371,964,542 | $ | 371,041,635 | $ | 516,176,588 | $ | 476,095,711 | ||||||||||||
Cash | 1,172 | 12,778 | 13,294 | 45,604 | ||||||||||||||||
Receivable for investments sold | 852,601 | 1,455,141 | 3,222,254 | 2,984,667 | ||||||||||||||||
Dividend and interest receivable | 193,931 | 672,093 | 236,489 | 440,548 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 573,000 | 605,000 | 773,000 | 894,000 | ||||||||||||||||
Foreign tax reclaims receivable | 149,788 | 7,063 | 17,612 | — | ||||||||||||||||
Securities lending income receivable | 2,025 | 3,782 | 13,506 | 39,735 | ||||||||||||||||
Prepaid expenses | 1,768 | 1,816 | 1,903 | 1,917 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 373,738,827 | 373,799,308 | 520,454,646 | 480,502,182 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 2,604,242 | 1,830,470 | 4,831,998 | 2,537,897 | ||||||||||||||||
Payable for Fund shares repurchased | — | 111,988 | 800,000 | 1,000,000 | ||||||||||||||||
Variation margin payable on open futures contracts | 74,730 | 69,610 | 54,200 | 54,660 | ||||||||||||||||
Obligation to return securities lending collateral | 8,089,381 | 8,633,539 | 43,387,898 | 20,091,525 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 175,949 | 168,009 | 366,783 | 351,398 | ||||||||||||||||
Trustees fees | 219 | 219 | 255 | 250 | ||||||||||||||||
Accrued expenses | 95,920 | 102,606 | 120,907 | 120,611 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 11,040,441 | 10,916,441 | 49,562,041 | 24,156,341 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 362,698,386 | $ | 362,882,867 | $ | 470,892,605 | $ | 456,345,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | 293,190,214 | 290,293,446 | 373,985,063 | 415,852,241 | ||||||||||||||||
Accumulated undistributed net investment income (loss) | 675,053 | 1,587,869 | (598,314 | ) | 166,913 | |||||||||||||||
Accumulated net realized gain | 23,325,869 | 22,185,443 | 15,270,881 | 5,234,781 | ||||||||||||||||
Net unrealized appreciation on investments, futures contracts and foreign currencies | 45,507,250 | 48,816,109 | 82,234,975 | 35,091,906 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 362,698,386 | $ | 362,882,867 | $ | 470,892,605 | $ | 456,345,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 362,698,386 | $ | 362,882,867 | $ | 470,892,605 | $ | 456,345,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 32,647,326 | 31,041,988 | 38,507,932 | 47,400,772 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 11.11 | $ | 11.69 | $ | 12.23 | $ | 9.63 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | 326,282,232 | 322,094,500 | 434,088,160 | 441,238,156 | ||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 149 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2015
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Assets | ||||||||||||||||||||
Investments, at value(a) | $ | 2,184,201,866 | $ | 930,225,314 | $ | 387,677,717 | $ | 1,110,823,290 | ||||||||||||
Foreign currency, at value(b) | 1,544,548 | — | 928,455 | 371,743 | ||||||||||||||||
Cash | 84,026 | 2,674 | — | 393,978 | ||||||||||||||||
Receivable for investments sold | 7,728,179 | 12,204,093 | 2,174,871 | 21,546,247 | ||||||||||||||||
Receivable for TBA securities sold | — | 14,958,434 | — | — | ||||||||||||||||
Receivable for Fund shares sold | — | — | — | 2,278,418 | ||||||||||||||||
Dividend and interest receivable | 6,088,462 | 6,307,064 | 6,929,297 | 1,972,400 | ||||||||||||||||
Cash collateral held at broker on open futures contracts | 2,307,000 | 52,000 | 342,885 | 4,125,434 | ||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | 5,281,851 | 758,180 | ||||||||||||||||
Receivable for variation margin on open futures contracts | — | — | 217,032 | — | ||||||||||||||||
Receivable for expenses reimbursed by Advisor | — | — | 29,086 | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 556,973 | ||||||||||||||||
Variation margin receivable on open centrally cleared swap contracts | — | 1,117 | — | — | ||||||||||||||||
Foreign tax reclaims receivable | 1,537,864 | 2,573 | 72,977 | 16,051 | ||||||||||||||||
Securities lending income receivable | 112,989 | 1,100 | — | 19,182 | ||||||||||||||||
Prepaid expenses | 9,936 | 4,536 | 1,430 | 4,708 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 2,203,614,870 | 963,758,905 | 403,655,601 | 1,142,866,604 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Liabilities | ||||||||||||||||||||
Payable for investments purchased | 13,923,752 | 19,272,362 | 1,088,366 | 35,826,998 | ||||||||||||||||
Payable for Fund shares repurchased | 1,415,523 | — | — | 64,066 | ||||||||||||||||
Payable for TBA and when-issued securities purchased | — | 46,809,799 | 1,181,400 | — | ||||||||||||||||
Due to custodian | — | — | 1,599,559 | — | ||||||||||||||||
Payable for closed swap contracts | — | 13,289 | — | — | ||||||||||||||||
Written options, at value(c) | — | 42,281 | — | — | ||||||||||||||||
Synthetic futures, at value | — | — | — | 73,731 | ||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | 3,200,382 | 1,378,649 | ||||||||||||||||
Variation margin payable on open futures contracts | 1,070,805 | 10,212 | — | 357,834 | ||||||||||||||||
Obligation to return securities lending collateral | 112,388,673 | 4,499,360 | — | 15,592,377 | ||||||||||||||||
Payable to affiliate for: | ||||||||||||||||||||
Advisory fees | 1,319,377 | 260,035 | 272,087 | 723,521 | ||||||||||||||||
Trustees fees | 1,222 | 563 | 199 | 592 | ||||||||||||||||
Payable for foreign capital gains tax | — | — | 187,048 | 963,993 | ||||||||||||||||
Interest payable | — | — | — | 2,199 | ||||||||||||||||
Accrued expenses | 514,242 | 202,192 | 187,416 | 527,401 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 130,633,594 | 71,110,093 | 7,716,457 | 55,511,361 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 2,072,981,276 | $ | 892,648,812 | $ | 395,939,144 | $ | 1,087,355,243 | ||||||||||||
|
|
|
|
|
|
|
|
150 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2015
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 1,895,500,346 | $ | 857,272,026 | $ | 436,569,540 | $ | 1,095,887,054 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 4,662,672 | 5,601,926 | (1,552,201 | ) | (3,030,275 | ) | ||||||||||||||
Accumulated net realized gain (loss) | 14,874,832 | 7,119,112 | 401,408 | (23,911,420 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, swap contracts and foreign currencies | 157,943,426 | 22,655,748 | (39,479,603 | ) | 18,409,884 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 2,072,981,276 | $ | 892,648,812 | $ | 395,939,144 | $ | 1,087,355,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net assets attributable to: | ||||||||||||||||||||
Class Y-3 shares | $ | 2,072,981,276 | $ | 892,648,812 | $ | 395,939,144 | $ | 1,087,355,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding: | ||||||||||||||||||||
Class Y-3 | 194,757,612 | 85,558,458 | 43,359,113 | 110,047,335 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net asset value per share: | ||||||||||||||||||||
Class Y-3 | $ | 10.64 | $ | 10.43 | $ | 9.13 | $ | 9.88 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(a) Investments, at cost | 2,026,195,300 | 907,405,472 | 428,263,722 | 1,093,014,696 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(b) Foreign currency, at cost | 1,588,830 | — | 887,126 | 239,483 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(c) Premiums on written options | — | 38,147 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 151 |
Table of Contents
Mercer Funds
Statements of Assets and Liabilities (Continued)
March 31, 2015
Mercer Global Low Volatility Equity Fund | |||||
Assets | |||||
Investments, at value(a) | $ | 840,784,264 | |||
Foreign currency, at value(b) | 1,518,975 | ||||
Cash | 52,106 | ||||
Receivable for investments sold | 3,233,422 | ||||
Dividend and interest receivable | 1,365,598 | ||||
Cash collateral held at broker on open futures contracts | 1,282,000 | ||||
Unrealized appreciation on open forward foreign currency contracts | 483,835 | ||||
Foreign tax reclaims receivable | 372,296 | ||||
Securities lending income receivable | 20,161 | ||||
Prepaid expenses | 3,729 | ||||
|
| ||||
Total assets | 849,116,386 | ||||
|
| ||||
Liabilities | |||||
Payable for investments purchased | 5,935,029 | ||||
Unrealized depreciation on open forward foreign currency contracts | 12,884 | ||||
Variation margin payable on open futures contracts | 320,992 | ||||
Obligation to return securities lending collateral | 23,028,187 | ||||
Payable to affiliate for: | |||||
Advisory fees | 578,271 | ||||
Trustees fees | 481 | ||||
Accrued expenses | 188,606 | ||||
|
| ||||
Total liabilities | 30,064,450 | ||||
|
| ||||
Net assets | $ | 819,051,936 | |||
|
| ||||
Net assets consist of: | |||||
Paid-in capital | 735,576,185 | ||||
Accumulated undistributed net investment income | 1,193,554 | ||||
Accumulated net realized gain | 39,103,642 | ||||
Net unrealized appreciation on investments, futures contracts and foreign currencies | 43,178,555 | ||||
|
| ||||
Net assets | $ | 819,051,936 | |||
|
| ||||
Net assets attributable to: | |||||
Class Y-3 shares | $ | 819,051,936 | |||
|
| ||||
Shares outstanding: | |||||
Class Y-3 | 67,623,992 | ||||
|
| ||||
Net asset value per share: | |||||
Class Y-3 | $ | 12.11 | |||
|
| ||||
(a) Investments, at cost | 798,052,359 | ||||
|
| ||||
(b) Foreign currency, at cost | 1,523,309 | ||||
|
|
152 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
For the Year Ended March 31, 2015
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 1,873 | $ | 1,794 | $ | 2,764 | $ | 2,579 | ||||||||||||
Dividends | 3,720,082 | 7,466,949 | 2,913,858 | 4,953,459 | ||||||||||||||||
Securities lending income | 2,007 | 4,064 | 13,523 | 41,450 | ||||||||||||||||
Securities lending income — affiliated | 32,470 | 27,540 | 237,834 | 289,591 | ||||||||||||||||
Withholding taxes | (179,862 | ) | (49,327 | ) | (36,056 | ) | (64,875 | ) | ||||||||||||
Other income — affiliated | 1,172 | 2,506 | 13,294 | 38,896 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 3,577,742 | 7,453,526 | 3,145,217 | 5,261,100 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 2,015,718 | 1,943,943 | 3,858,237 | 3,767,218 | ||||||||||||||||
Transfer agent fees | 22,305 | 22,532 | 22,631 | 22,594 | ||||||||||||||||
Custodian and fund accounting fees | 99,667 | 137,516 | 190,145 | 144,732 | ||||||||||||||||
Audit fees | 46,063 | 46,063 | 47,539 | 57,630 | ||||||||||||||||
Legal fees | 44,362 | 44,394 | 51,249 | 56,576 | ||||||||||||||||
Trustees fees | 20,248 | 20,244 | 23,832 | 23,223 | ||||||||||||||||
Registration fees | 31,587 | 28,304 | 33,907 | 37,532 | ||||||||||||||||
Interest expense | 529 | 637 | 841 | 767 | ||||||||||||||||
Miscellaneous | 24,263 | 22,974 | 25,378 | 24,253 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 2,304,742 | 2,266,607 | 4,253,759 | 4,134,525 | ||||||||||||||||
Fee reductions | (16,689 | ) | (16,916 | ) | (16,977 | ) | (16,922 | ) | ||||||||||||
Reimbursement of expenses | (81,668 | ) | (77,013 | ) | (27,240 | ) | (32,022 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 2,206,385 | 2,172,678 | 4,209,542 | 4,085,581 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | 1,371,357 | 5,280,848 | (1,064,325 | ) | 1,175,519 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 87,524,356 | 63,608,721 | 45,453,453 | 21,654,980 | ||||||||||||||||
Closed futures contracts | 1,713,902 | 1,042,063 | 1,794,034 | 1,284,202 | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | — | 136,139 | (13,125 | ) | (472 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 89,238,258 | 64,786,923 | 47,234,362 | 22,938,710 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (41,717,134 | ) | (37,171,389 | ) | 6,906,669 | (1,164,139 | ) | |||||||||||||
Open futures contracts | (175,060 | ) | (131,034 | ) | 146,277 | 234,365 | ||||||||||||||
Forward foreign currency contracts and foreign currency related translations | — | 23,532 | 270 | (30 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (41,892,194 | ) | (37,278,891 | ) | 7,053,216 | (929,804 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | 47,346,064 | 27,508,032 | 54,287,578 | 22,008,906 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | $ | 48,717,421 | $ | 32,788,880 | $ | 53,223,253 | $ | 23,184,425 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 153 |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Year Ended March 31, 2015
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest | $ | 10,340 | $ | 28,535,298 | $ | 21,871,356 | $ | 5,774 | ||||||||||||
Dividends | 55,965,327 | 195,300 | 21,328 | 29,018,580 | ||||||||||||||||
Securities lending income | 140,961 | 1,110 | — | 19,191 | ||||||||||||||||
Securities lending income — affiliated | 1,030,760 | 4,133 | — | 124,619 | ||||||||||||||||
Withholding taxes | (4,930,051 | ) | (11,472 | ) | (302,832 | ) | (3,014,486 | ) | ||||||||||||
Other income | 9,121 | 10,315 | 8,129 | 1,200 | ||||||||||||||||
Other income — affiliated | 84,026 | 2,674 | — | 43,736 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | 52,310,484 | 28,737,358 | 21,597,981 | 26,198,614 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Advisory fees | 15,075,502 | 3,249,381 | 2,678,245 | 7,891,896 | ||||||||||||||||
Transfer agent fees | 22,774 | 22,697 | 22,423 | 22,870 | ||||||||||||||||
Custodian and fund accounting fees | 1,454,684 | 359,298 | 372,408 | 1,540,273 | ||||||||||||||||
Audit fees | 128,082 | 71,149 | 48,041 | 132,338 | ||||||||||||||||
Legal fees | 255,851 | 118,820 | 43,274 | 129,329 | ||||||||||||||||
Trustees fees | 113,885 | 53,948 | 19,131 | 56,806 | ||||||||||||||||
Registration fees | 62,724 | 25,882 | 46,353 | 44,563 | ||||||||||||||||
Interest expense | 3,479 | — | 383 | 12,166 | ||||||||||||||||
Miscellaneous | 124,534 | 63,867 | 15,853 | 58,132 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | 17,241,515 | 3,965,042 | 3,246,111 | 9,888,373 | ||||||||||||||||
Fee reductions | (16,989 | ) | (16,963 | ) | (16,767 | ) | (17,071 | ) | ||||||||||||
Reimbursement of expenses | — | (229,963 | ) | (215,935 | ) | (145,271 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 17,224,526 | 3,718,116 | 3,013,409 | 9,726,031 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | 35,085,958 | 25,019,242 | 18,584,572 | 16,472,583 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 85,082,277 | 20,920,857 | (442,424 | ) | (8,840,514 | ) | ||||||||||||||
Swap contracts | — | (469,707 | ) | — | — | |||||||||||||||
Closed futures contracts | (4,984,208 | ) | (204,355 | ) | (225,567 | ) | 1,301,338 | |||||||||||||
Written option contracts | — | 82,713 | — | — | ||||||||||||||||
Forward foreign currency contracts and foreign currency related transactions | (756,437 | ) | (37,046 | ) | (1,722,222 | ) | (5,566,838 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) | 79,341,632 | 20,292,462 | (2,390,213 | ) | (13,106,014 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | (103,185,435 | ) | 5,701,599 | (45,417,882 | ) | 2,166,834 | ||||||||||||||
Swap contracts | — | (167,852 | ) | — | — | |||||||||||||||
Open futures contracts | 151,385 | 8,630 | (463,888 | ) | 1,143,168 | |||||||||||||||
Written option contracts | — | (6,416 | ) | — | — | |||||||||||||||
Forward foreign currency contracts and foreign currency related translations | (216,154 | ) | 29,447 | 1,062,927 | (1,612,222 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net unrealized appreciation (depreciation) | (103,250,204 | ) | 5,565,408 | (44,818,843 | ) | 1,697,780 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) | (23,908,572 | ) | 25,857,870 | (47,209,056 | ) | (11,408,234 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 11,177,386 | $ | 50,877,112 | $ | (28,624,484 | ) | $ | 5,064,349 | |||||||||||
|
|
|
|
|
|
|
|
154 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Operations (Continued)
For the Year Ended March 31, 2015
Mercer Global Low Volatility Equity Fund | |||||
Investment Income: | |||||
Interest | $ | 38,416 | |||
Dividends | 17,599,032 | ||||
Securities lending income | 27,555 | ||||
Securities lending income — affiliated | 248,796 | ||||
Withholding taxes | (1,144,740 | ) | |||
Other income — affiliated | 34,192 | ||||
|
| ||||
Total investment income | 16,803,251 | ||||
|
| ||||
Expenses: | |||||
Advisory fees | 6,016,672 | ||||
Transfer agent fees | 22,365 | ||||
Custodian and fund accounting fees | 377,188 | ||||
Audit fees | 69,209 | ||||
Legal fees | 132,416 | ||||
Trustees fees | 45,824 | ||||
Registration fees | 36,009 | ||||
Interest expense | 13,097 | ||||
Miscellaneous | 44,814 | ||||
|
| ||||
Total expenses | 6,757,594 | ||||
Fee reductions | (16,720 | ) | |||
Recapture of expenses | 55,146 | ||||
|
| ||||
Net expenses | 6,796,020 | ||||
|
| ||||
Net investment income | 10,007,231 | ||||
|
| ||||
Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on: | |||||
Investments | 66,464,458 | ||||
Closed futures contracts | 1,689,428 | ||||
Forward foreign currency contracts and foreign currency related transactions | 1,457,082 | ||||
|
| ||||
Net realized gain | 69,610,968 | ||||
|
| ||||
Change in net unrealized appreciation (depreciation) on: | |||||
Investments | (32,823,457 | ) | |||
Open futures contracts | 37,285 | ||||
Forward foreign currency contracts and foreign currency related translations | 303,431 | ||||
|
| ||||
Change in net unrealized appreciation (depreciation) | (32,482,741 | ) | |||
|
| ||||
Net realized and unrealized gain (loss) | 37,128,227 | ||||
|
| ||||
Net increase in net assets resulting from operations | $ | 47,135,458 | |||
|
|
See accompanying Notes to the Financial Statements. | 155 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets
Mercer US Large Cap Growth Equity Fund | Mercer US Large Cap Value Equity Fund | |||||||||||||||||||
Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 1,371,357 | $ | 1,954,495 | $ | 5,280,848 | $ | 6,572,337 | ||||||||||||
Net realized gain (loss) | 89,238,258 | 91,017,590 | 64,786,923 | 100,626,817 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (41,892,194 | ) | (6,335,436 | ) | (37,278,891 | ) | (574,973 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 48,717,421 | 86,636,649 | 32,788,880 | 106,624,181 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | (1,009,786 | ) | (2,145,143 | ) | (5,406,946 | ) | (6,835,803 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | (1,009,786 | ) | (2,145,143 | ) | (5,406,946 | ) | (6,835,803 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (93,603,995 | ) | (81,475,198 | ) | (51,164,468 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (93,603,995 | ) | (81,475,198 | ) | (51,164,468 | ) | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 49,732,510 | (109,941,413 | ) | 16,187,539 | (205,208,131 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 49,732,510 | (109,941,413 | ) | 16,187,539 | (205,208,131 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 3,836,150 | (106,925,105 | ) | (7,594,995 | ) | (105,419,753 | ) | |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 358,862,236 | 465,787,341 | 370,477,862 | 475,897,615 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 362,698,386 | $ | 358,862,236 | $ | 362,882,867 | $ | 370,477,862 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of year | $ | 675,053 | $ | 313,482 | $ | 1,587,869 | $ | 1,507,583 | ||||||||||||
|
|
|
|
|
|
|
|
156 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer US Small/Mid Cap Growth Equity Fund | Mercer US Small/Mid Cap Value Equity Fund | |||||||||||||||||||
Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (1,064,325 | ) | $ | (714,770 | ) | $ | 1,175,519 | $ | 1,506,232 | ||||||||||
Net realized gain (loss) | 47,234,362 | 79,466,661 | 22,938,710 | 103,295,900 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 7,053,216 | 3,771,797 | (929,804 | ) | (28,294,070 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 53,223,253 | 82,523,688 | 23,184,425 | 76,508,062 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | — | — | (994,292 | ) | (3,068,973 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | — | — | (994,292 | ) | (3,068,973 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (53,577,019 | ) | (61,044,497 | ) | (69,483,836 | ) | (68,563,917 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (53,577,019 | ) | (61,044,497 | ) | (69,483,836 | ) | (68,563,917 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 73,886,251 | (66,199,365 | ) | 114,927,870 | (45,575,148 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 73,886,251 | (66,199,365 | ) | 114,927,870 | (45,575,148 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 73,532,485 | (44,720,174 | ) | 67,634,167 | (40,699,976 | ) | ||||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 397,360,120 | 442,080,294 | 388,711,674 | 429,411,650 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 470,892,605 | $ | 397,360,120 | $ | 456,345,841 | $ | 388,711,674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income (loss) included in net assets at end of year | $ | (598,314 | ) | $ | (914 | ) | $ | 166,913 | $ | (39,343 | ) | |||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to the Financial Statements. | 157 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Non-US Core Equity Fund | Mercer Core Fixed Income Fund | |||||||||||||||||||
Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 35,085,958 | $ | 48,183,287 | $ | 25,019,242 | $ | 25,132,191 | ||||||||||||
Net realized gain (loss) | 79,341,632 | 309,450,586 | 20,292,462 | 5,055,181 | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (103,250,204 | ) | 25,188,540 | 5,565,408 | (26,672,103 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets resulting from operations | 11,177,386 | 382,822,413 | 50,877,112 | 3,515,269 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | (47,473,858 | ) | (51,237,787 | ) | (26,100,759 | ) | (24,984,359 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | (47,473,858 | ) | (51,237,787 | ) | (26,100,759 | ) | (24,984,359 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (170,533,817 | ) | (85,693,489 | ) | (17,130,534 | ) | (5,718,416 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (170,533,817 | ) | (85,693,489 | ) | (17,130,534 | ) | (5,718,416 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 398,335,931 | (503,345,330 | ) | (191,436,484 | ) | 10,374,161 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets resulting from net shares transactions | 398,335,931 | (503,345,330 | ) | (191,436,484 | ) | 10,374,161 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 191,505,642 | (257,454,193 | ) | (183,790,665 | ) | (16,813,345 | ) | |||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 1,881,475,634 | 2,138,929,827 | 1,076,439,477 | 1,093,252,822 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 2,072,981,276 | $ | 1,881,475,634 | $ | 892,648,812 | $ | 1,076,439,477 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income included in net assets at end of year | $ | 4,662,672 | $ | 15,302,164 | $ | 5,601,926 | $ | 6,679,686 | ||||||||||||
|
|
|
|
|
|
|
|
158 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Opportunistic Fixed Income Fund | Mercer Emerging Markets Equity Fund | |||||||||||||||||||
Year Ended March 31, 2015 | Period Ended March 31, 2014(a) | Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||||
Increase (decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | 18,584,572 | $ | 4,292,757 | $ | 16,472,583 | $ | 11,005,996 | ||||||||||||
Net realized gain (loss) | (2,390,213 | ) | 342,549 | (13,106,014 | ) | (8,563,018 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (44,818,843 | ) | 5,339,240 | 1,697,780 | (7,069,259 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (28,624,484 | ) | 9,974,546 | 5,064,349 | (4,626,281 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | ||||||||||||||||||||
Class Y-3 | (17,059,016 | ) | (1,909,755 | ) | (18,781,299 | ) | (12,069,442 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net investment income | (17,059,016 | ) | (1,909,755 | ) | (18,781,299 | ) | (12,069,442 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains | ||||||||||||||||||||
Class Y-3 | (2,517,357 | ) | (370,327 | ) | — | (1,819,134 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total distributions from net realized gains | (2,517,357 | ) | (370,327 | ) | — | (1,819,134 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net share transactions (See Note 7): | ||||||||||||||||||||
Class Y-3 | 183,559,152 | 252,886,385 | 238,149,352 | 364,353,169 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets resulting from net shares transactions | 183,559,152 | 252,886,385 | 238,149,352 | 364,353,169 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 135,358,295 | 260,580,849 | 224,432,402 | 345,838,312 | ||||||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of year | 260,580,849 | — | 862,922,841 | 517,084,529 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 395,939,144 | $ | 260,580,849 | $ | 1,087,355,243 | $ | 862,922,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income included in net assets at end of year | $ | (1,552,201 | ) | $ | 2,764,086 | $ | (3,030,275 | ) | $ | 4,792,103 | ||||||||||
|
|
|
|
|
|
|
|
(a) | The Fund commenced operations on August 21, 2013. |
See accompanying Notes to the Financial Statements. | 159 |
Table of Contents
Mercer Funds
Statements of Changes in Net Assets (Continued)
Mercer Global Low Volatility Equity Fund | ||||||||||
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||
Increase (decrease) in net assets: | ||||||||||
Operations: | ||||||||||
Net investment income (loss) | $ | 10,007,231 | $ | 7,607,943 | ||||||
Net realized gain (loss) | 69,610,968 | 31,607,054 | ||||||||
Change in net unrealized appreciation (depreciation) | (32,482,741 | ) | 50,942,173 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 47,135,458 | 90,157,170 | ||||||||
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||
Net investment income | ||||||||||
Class Y-3 | (12,009,539 | ) | (8,930,712 | ) | ||||||
|
|
|
| |||||||
Total distributions from net investment income | (12,009,539 | ) | (8,930,712 | ) | ||||||
|
|
|
| |||||||
Net realized gains | ||||||||||
Class Y-3 | (41,263,632 | ) | (19,639,446 | ) | ||||||
|
|
|
| |||||||
Total distributions from net realized gains | (41,263,632 | ) | (19,639,446 | ) | ||||||
|
|
|
| |||||||
Net share transactions (See Note 7): | ||||||||||
Class Y-3 | 82,548,255 | 379,824,244 | ||||||||
|
|
|
| |||||||
Increase in net assets resulting from net shares transactions | 82,548,255 | 379,824,244 | ||||||||
|
|
|
| |||||||
Net increase in net assets | 76,410,542 | 441,411,256 | ||||||||
Net assets: | ||||||||||
Beginning of year | 742,641,394 | 301,230,138 | ||||||||
|
|
|
| |||||||
End of year | $ | 819,051,936 | $ | 742,641,394 | ||||||
|
|
|
| |||||||
Undistributed net investment income included in net assets at end of year | $ | 1,193,554 | $ | 1,063,496 | ||||||
|
|
|
|
160 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Large Cap Growth Equity Fund
Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | $ | 10.08 | |||||||||||||||
Net investment income† | 0.05 | 0.07 | 0.08 | 0.04 | 0.03 | ||||||||||||||||||||
Net realized and unrealized gain on investments | 1.63 | 3.11 | 0.68 | 1.06 | 2.12 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.68 | 3.18 | 0.76 | 1.10 | 2.15 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.09 | ) | (0.08 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||||
From net realized gain on investments | (3.69 | ) | (3.49 | ) | (0.39 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (3.73 | ) | (3.58 | ) | (0.47 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 11.11 | $ | 13.16 | $ | 13.56 | $ | 13.27 | $ | 12.19 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(a) | 13.63 | % | 23.99 | % | 6.03 | % | 9.08 | % | 21.38 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 0.37 | % | 0.48 | % | 0.61 | % | 0.33 | % | 0.27 | % | |||||||||||||||
Net expenses to average daily net assets | 0.60 | %(b) | 0.57 | % | 0.57 | % | 0.57 | % | 0.57 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.63 | %(b) | 0.63 | % | 0.63 | % | 0.63 | % | 0.64 | % | |||||||||||||||
Portfolio turnover rate | 118 | % | 50 | % | 65 | % | 64 | % | 106 | %(c) | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 362,698 | $ | 358,862 | $ | 465,787 | $ | 465,641 | $ | 427,840 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $23,568,413 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements. | 161 |
Table of Contents
Mercer US Large Cap Value Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | $ | 7.52 | |||||||||||||||
Net investment income† | 0.18 | 0.18 | 0.18 | 0.16 | 0.11 | ||||||||||||||||||||
Net realized and unrealized gain on investments | 0.94 | 2.75 | 1.26 | 0.45 | 0.72 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.12 | 2.93 | 1.44 | 0.61 | 0.83 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.20 | ) | (0.22 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | |||||||||||||||
From net realized gain on investments | (1.89 | ) | — | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (2.09 | ) | (0.22 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 11.69 | $ | 12.66 | $ | 9.95 | $ | 8.71 | $ | 8.25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(a) | 9.10 | % | 29.54 | % | 16.71 | % | 7.69 | % | 11.07 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.44 | % | 1.60 | % | 2.07 | % | 2.03 | % | 1.52 | % | |||||||||||||||
Net expenses to average daily net assets | 0.59 | %(b) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.62 | %(b) | 0.61 | % | 0.60 | % | 0.62 | % | 0.63 | % | |||||||||||||||
Portfolio turnover rate | 60 | % | 45 | % | 59 | % | 109 | % | 117 | %(c) | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 362,883 | $ | 370,478 | $ | 475,898 | $ | 459,999 | $ | 420,518 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $21,956,759 of securities transferred into the Fund as part of in-kind contributions. |
† | Computed using average shares outstanding throughout the year. |
162 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer US Small/Mid Cap Growth Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | $ | 9.75 | |||||||||||||||
Net investment loss† | (0.03 | ) | (0.02 | ) | (0.01 | ) | (0.04 | ) | (0.03 | ) | |||||||||||||||
Net realized and unrealized gain on investments | 1.32 | 2.63 | 1.31 | 0.27 | 2.77 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 1.29 | 2.61 | 1.30 | 0.23 | 2.74 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | — | — | (0.01 | ) | — | — | |||||||||||||||||||
From net realized gain on investments | (1.50 | ) | (2.11 | ) | (0.97 | ) | (1.10 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.50 | ) | (2.11 | ) | (0.98 | ) | (1.10 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 12.23 | $ | 12.44 | $ | 11.94 | $ | 11.62 | $ | 12.49 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(a) | 11.11 | % | 22.34 | % | 12.11 | % | 3.36 | % | 28.10 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment loss to average net assets | (0.25 | )% | (0.17 | )% | (0.05 | )% | (0.36 | )% | (0.34 | )% | |||||||||||||||
Net expenses to average daily net assets | 0.98 | %(b) | 0.97 | % | 0.96 | % | 0.92 | % | 0.92 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.99 | %(b) | 0.99 | % | 1.01 | % | 1.01 | % | 1.02 | % | |||||||||||||||
Portfolio turnover rate | 75 | % | 67 | % | 54 | % | 95 | % | 107 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 470,893 | $ | 397,360 | $ | 442,080 | $ | 300,176 | $ | 300,980 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements. | 163 |
Table of Contents
Mercer US Small/Mid Cap Value Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | $ | 8.64 | |||||||||||||||
Net investment income† | 0.03 | 0.04 | 0.13 | 0.06 | 0.05 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.34 | 2.24 | 1.46 | (0.14 | )(a) | 2.05 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.37 | 2.28 | 1.59 | (0.08 | ) | 2.10 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.10 | ) | (0.11 | ) | (0.04 | ) | (0.10 | ) | |||||||||||||||
From net realized gain on investments | (1.70 | ) | (2.25 | ) | (0.37 | ) | (0.58 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.72 | ) | (2.35 | ) | (0.48 | ) | (0.62 | ) | (0.10 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 9.63 | $ | 10.98 | $ | 11.05 | $ | 9.94 | $ | 10.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(b) | 4.27 | % | 21.61 | % | 16.51 | % | (0.03 | )% | 24.36 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 0.28 | % | 0.38 | % | 1.26 | % | 0.60 | % | 0.65 | % | |||||||||||||||
Net expenses to average daily net assets | 0.98 | %(c) | 0.97 | % | 0.96 | % | 0.92 | % | 0.92 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.99 | %(c) | 1.00 | % | 1.01 | % | 1.01 | % | 1.02 | % | |||||||||||||||
Portfolio turnover rate | 88 | % | 122 | %(d) | 80 | % | 92 | % | 95 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 456,346 | $ | 388,712 | $ | 429,412 | $ | 292,391 | $ | 295,626 |
(a) | The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain for the period due to the timing of sales of the Fund in relation to the fluctuating net asset value per share of the Fund. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
(d) | Portfolio turnover calculation does not include $38,447,113 of securities transferred out of the Fund as part of an in-kind redemption. |
† | Computed using average shares outstanding throughout the period. |
164 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Non-US Core Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | $ | 9.73 | |||||||||||||||
Net investment income† | 0.19 | 0.29 | 0.21 | 0.25 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.22 | ) | 1.94 | 0.90 | (0.81 | ) | 0.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.03 | ) | 2.23 | 1.11 | (0.56 | ) | 0.91 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.27 | ) | (0.33 | ) | (0.25 | ) | (0.18 | ) | (0.18 | ) | |||||||||||||||
From net realized gain on investments | (0.98 | ) | (0.56 | ) | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.25 | ) | (0.89 | ) | (0.25 | ) | (0.18 | ) | (0.18 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 10.64 | $ | 11.92 | $ | 10.58 | $ | 9.72 | $ | 10.46 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(a) | 0.19 | % | 21.48 | % | 11.53 | % | (5.15 | )% | 9.45 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 1.72 | % | 2.52 | % | 2.17 | % | 2.57 | % | 1.76 | % | |||||||||||||||
Net expenses to average daily net assets | 0.84 | %(b) | 0.85 | % | 0.83 | % | 0.82 | % | 0.82 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.84 | %(b) | 0.86 | % | 0.86 | % | 0.92 | % | 0.92 | % | |||||||||||||||
Portfolio turnover rate | 101 | % | 95 | %(c) | 90 | % | 105 | %(d) | 87 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 2,072,981 | $ | 1,881,476 | $ | 2,138,930 | $ | 1,892,784 | $ | 1,563,529 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Includes interest expense that amounts to less than 0.01%. |
(c) | Portfolio turnover calculation does not include $177,821,966 of securities transferred out of the Fund as part of an in-kind redemption. |
(d) | Portfolio turnover calculation does not include $9,536,640 of securities transferred into the Fund as part of an in-kind contribution. |
† | Computed using average shares outstanding throughout the year. |
See accompanying Notes to the Financial Statements. | 165 |
Table of Contents
Mercer Core Fixed Income Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Year Ended 03/31/13 | Year Ended 03/31/12 | Year Ended 03/31/11 | |||||||||||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||||||||||||
Net asset value at beginning of year | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | $ | 10.11 | |||||||||||||||
Net investment income† | 0.28 | 0.24 | 0.27 | 0.33 | 0.29 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.28 | (0.19 | ) | 0.37 | 0.46 | 0.34 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | 0.56 | 0.05 | 0.64 | 0.79 | 0.63 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||
From net investment income | (0.33 | ) | (0.25 | ) | (0.31 | ) | (0.31 | ) | (0.36 | ) | |||||||||||||||
From net realized gain on investments | (0.22 | ) | (0.06 | ) | (0.23 | ) | (0.13 | ) | (0.15 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.55 | ) | (0.31 | ) | (0.54 | ) | (0.44 | ) | (0.51 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value at end of year | $ | 10.43 | $ | 10.42 | $ | 10.68 | $ | 10.58 | $ | 10.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total investment return(a) | 5.43 | % | 0.44 | % | 6.15 | % | 7.88 | % | 6.25 | % | |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net investment income to average net assets | 2.66 | % | 2.32 | % | 2.51 | % | 3.13 | % | 2.79 | % | |||||||||||||||
Net expenses to average daily net assets | 0.40 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | |||||||||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.42 | % | 0.43 | % | 0.43 | % | 0.44 | % | 0.45 | % | |||||||||||||||
Portfolio turnover rate | 192 | % | 187 | %(b) | 125 | % | 181 | % | 379 | % | |||||||||||||||
Net assets at end of year (in 000’s) | $ | 892,649 | $ | 1,076,439 | $ | 1,093,253 | $ | 1,025,624 | $ | 1,043,027 |
(a) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(b) | Excludes treasury dollar roll transactions. The Portfolio turnover rate including treasury dollar roll transactions was 251% for the year ended March 31, 2014. |
† | Computed using average shares outstanding throughout the year. |
166 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Opportunistic Fixed Income Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Period Ended 03/31/14(a) | |||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | ||||||||||
Net asset value at beginning of year | $ | 10.43 | $ | 10.00 | ||||||
Net investment income† | 0.56 | 0.34 | ||||||||
Net realized and unrealized gain (loss) on investments | (1.32 | ) | 0.35 | |||||||
|
|
|
| |||||||
Total from investment operations | (0.76 | ) | 0.69 | |||||||
|
|
|
| |||||||
Less dividends and distributions: | ||||||||||
From net investment income | (0.47 | ) | (0.22 | ) | ||||||
From net realized gain on investments | (0.07 | ) | (0.04 | ) | ||||||
|
|
|
| |||||||
Total dividends and distributions | (0.54 | ) | (0.26 | ) | ||||||
|
|
|
| |||||||
Net asset value at end of year | $ | 9.13 | $ | 10.43 | ||||||
|
|
|
| |||||||
Total investment return(b) | (7.36 | )% | 7.00 | %** | ||||||
Ratios/Supplemental Data: | ||||||||||
Net investment income to average net assets | 5.55 | % | 5.52 | %* | ||||||
Net expenses to average daily net assets | 0.90 | %(c) | 0.90 | %* | ||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 0.97 | %(c) | 1.17 | %* | ||||||
Portfolio turnover rate | 58 | % | 28 | %** | ||||||
Net assets at end of year (in 000’s) | $ | 395,939 | $ | 260,581 |
(a) | The Fund commenced operations on August 21, 2013. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
* | Annualized. |
** | Not annualized. |
See accompanying Notes to the Financial Statements. | 167 |
Table of Contents
Mercer Emerging Markets Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Period Ended 03/31/13(a) | |||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||
Net asset value at beginning of year | $ | 9.99 | $ | 10.49 | $ | 10.00 | |||||||||
Net investment income† | 0.17 | 0.18 | 0.10 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.09 | ) | (0.46 | ) | 0.46 | ||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.08 | (0.28 | ) | 0.56 | |||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions: | |||||||||||||||
From net investment income | (0.19 | ) | (0.19 | ) | (0.06 | ) | |||||||||
From net realized gain on investments | — | (0.03 | ) | (0.01 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.19 | ) | (0.22 | ) | (0.07 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net asset value at end of year | $ | 9.88 | $ | 9.99 | $ | 10.49 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(b) | 0.81 | % | (2.61 | )% | 5.64 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net investment income to average net assets | 1.66 | % | 1.77 | % | 1.08 | %* | |||||||||
Net expenses to average daily net assets | 0.98 | %(c) | 0.95 | %(c) | 0.95 | %*(c) | |||||||||
Total expenses (before reductions and reimbursements) to average daily net assets | 1.00 | %(c) | 1.04 | %(c) | 1.15 | %*(c) | |||||||||
Portfolio turnover rate | 46 | % | 64 | % | 52 | %** | |||||||||
Net assets at end of year (in 000’s) | $ | 1,087,355 | $ | 862,923 | $ | 517,085 |
(a) | The Portfolio commenced operations on May 1, 2012. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
* | Annualized. |
** | Not annualized. |
168 | See accompanying Notes to the Financial Statements. |
Table of Contents
Mercer Global Low Volatility Equity Fund
Financial Highlights (Continued)
Year Ended 03/31/15 | Year Ended 03/31/14 | Period Ended 03/31/13(a) | |||||||||||||
For a Class Y-3 Share Outstanding Throughout Each Period: | |||||||||||||||
Net asset value at beginning of year | $ | 12.27 | $ | 11.19 | $ | 10.00 | |||||||||
Net investment income† | 0.15 | 0.14 | 0.07 | ||||||||||||
Net realized and unrealized gain on investments | 0.54 | 1.45 | 1.14 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from investment operations | 0.69 | 1.59 | 1.21 | ||||||||||||
|
|
|
|
|
| ||||||||||
Less dividends and distributions: | |||||||||||||||
From net investment income | (0.19 | ) | (0.16 | ) | (0.02 | ) | |||||||||
From net realized gain on investments | (0.66 | ) | (0.35 | ) | — | ||||||||||
|
|
|
|
|
| ||||||||||
Total dividends and distributions | (0.85 | ) | (0.51 | ) | (0.02 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net asset value at end of year | $ | 12.11 | $ | 12.27 | $ | 11.19 | |||||||||
|
|
|
|
|
| ||||||||||
Total investment return(b) | 5.80 | % | 14.40 | % | 12.13 | %** | |||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net investment income to average net assets | 1.25 | % | 1.20 | % | 1.62 | %* | |||||||||
Net expenses to average daily net assets | 0.85 | %(c) | 0.85 | % | 0.85 | %* | |||||||||
Total expenses (before reductions and reimbursements/recapture) to average daily net assets | 0.84 | %(c) | 0.84 | % | 1.00 | %* | |||||||||
Portfolio turnover rate | 84 | % | 46 | % | 12 | %** | |||||||||
Net assets at end of year (in 000’s) | $ | 819,052 | $ | 742,641 | $ | 301,230 |
(a) | The Fund commenced operations on November 6, 2012. |
(b) | The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown. |
(c) | Includes interest expense that amounts to less than 0.01%. |
† | Computed using average shares outstanding throughout the year. |
* | Annualized. |
** | Not annualized. |
See accompanying Notes to the Financial Statements. | 169 |
Table of Contents
Mercer Funds
Notes to the Financial Statements
March 31, 2015
1. | Organization |
Mercer Funds (the “Trust”) consists of the following nine series: Mercer US Large Cap Growth Equity Fund (“Large Cap Growth”), Mercer US Large Cap Value Equity Fund (“Large Cap Value”), Mercer US Small/Mid Cap Growth Equity Fund (“Small/Mid Cap Growth”), Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). The Funds’ investment advisor is Mercer Investment Management, Inc. (the “Advisor”). The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund’s assets. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services — Investment Companies.
Under the 1940 Act, each Fund is classified as “diversified”, with the exception of Opportunistic Fixed. Opportunistic Fixed is classified as “non-diversified” under the 1940 Act, as amended, and may invest a larger percentage of its assets in fewer issuers than diversified funds.
The investment objectives of the Funds are:
Fund | Investment Objective | |
Large Cap Growth | Long-term total return, which includes capital appreciation and income | |
Large Cap Value | Long-term total return, which includes capital appreciation and income | |
Small/Mid Cap Growth | Long-term total return, comprised primarily of capital appreciation | |
Small/Mid Cap Value | Long-term total return, comprised primarily of capital appreciation | |
Non-US Core Equity | Long-term total return, which includes capital appreciation and income | |
Core Fixed | Total return, consisting of both current income and capital appreciation | |
Opportunistic Fixed | Long-term total return, which includes capital appreciation and income | |
Emerging Markets | Long-term total return, which includes capital appreciation and income | |
Global Low Volatility | Long-term total return, which includes capital appreciation and income |
Each Fund has registered and is authorized to offer interests in four classes of shares: Class S, Class Y-1, Class Y-2 and Class Y-3. The principal difference between the classes of shares is the level of shareholder service, marketing and administrative fees borne by the classes. As of March 31, 2015, only the Class Y-3 shares of each Fund had commenced operations.
2. | Significant Accounting Policies |
The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
170
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
(a) Security Valuation
Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary market for such securities. Securities traded in the over-the-counter (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other OTC securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.
Certain fixed-income securities may be valued based upon appraisals received from an independent pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. Each Fund generally values short-term investments, which mature in 60 days or less, at amortized cost, which approximates fair value unless the Board determines that this approach does not represent fair value.
Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.
Senior secured floating rate loans and senior secured floating rate debt securities are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, prepayment speeds, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data.
The Board has delegated its responsibility for valuing portfolio securities to the Advisor, subject to continuing Board oversight. The Advisor has appointed a Valuation Committee that is responsible for overseeing the day-to-day process of valuing portfolio securities. With respect to portfolio securities for which market quotations are not readily available or (in the opinion of the Advisor or the applicable Subadvisor) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board.
171
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that a Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. A Fund’s value for a particular security may be different from the last quoted market price.
The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• | Level 1 — quoted prices unadjusted in active markets for identical investments |
• | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of March 31, 2015. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of March 31, 2015.
At March 31, 2015, Large Cap Growth, Large Cap Value and Small/Mid Cap Value held long-term investments whose value was determined using Level 1 inputs, with corresponding major categories as shown in the schedule of investments, Futures Contracts whose value was determined using Level 1 inputs and short-term investment positions in a Euro Time Deposit and State Street Institutional U.S. Government Money Market Fund, Premier Class, as shown in the schedule of investments, whose value was determined using a Level 2 input.
The following is a summary of the inputs used as of March 31, 2015 in valuing the assets and liabilities of Small/Mid Cap Growth, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:
Small/Mid Cap Growth
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 5,495,750 | $ | — | $ | — | $ | 5,495,750 | ||||||||
Airlines | 2,052,477 | — | — | 2,052,477 | ||||||||||||
Apparel | 5,656,153 | — | — | 5,656,153 | ||||||||||||
Auto Parts & Equipment | 3,698,815 | — | — | 3,698,815 | ||||||||||||
Banks | 5,503,279 | — | — | 5,503,279 | ||||||||||||
Biotechnology | 14,102,561 | — | — | 14,102,561 | ||||||||||||
Building Materials | 5,172,160 | — | — | 5,172,160 | ||||||||||||
Chemicals | 11,870,408 | — | — | 11,870,408 | ||||||||||||
Coal | 2,623,055 | — | — | 2,623,055 | ||||||||||||
Commercial Services | 30,382,036 | — | — | 30,382,036 | ||||||||||||
Computers | 16,906,271 | — | — | 16,906,271 |
172
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Distribution & Wholesale | $ | 4,017,267 | $ | — | $ | — | $ | 4,017,267 | ||||||||
Diversified Financial Services | 18,314,030 | — | — | 18,314,030 | ||||||||||||
Electrical Components & Equipment | 5,116,858 | — | — | 5,116,858 | ||||||||||||
Entertainment | 4,253,502 | — | — | 4,253,502 | ||||||||||||
Food | 1,561,034 | — | — | 1,561,034 | ||||||||||||
Forest Products & Paper | 1,046,939 | — | — | 1,046,939 | ||||||||||||
Health Care - Products | 24,406,875 | — | — | 24,406,875 | ||||||||||||
Health Care - Services | 18,936,699 | — | — | 18,936,699 | ||||||||||||
Home Builders | 2,701,390 | — | — | 2,701,390 | ||||||||||||
Home Furnishings | 6,715,918 | — | — | 6,715,918 | ||||||||||||
Household Products & Wares | 3,941,579 | — | — | 3,941,579 | ||||||||||||
Internet | 23,426,824 | — | — | 23,426,824 | ||||||||||||
Leisure Time | 1,646,919 | — | — | 1,646,919 | ||||||||||||
Lodging | 1,027,830 | — | — | 1,027,830 | ||||||||||||
Machinery - Diversified | 22,206,578 | — | — | 22,206,578 | ||||||||||||
Media | 2,917,648 | — | — | 2,917,648 | ||||||||||||
Metal Fabricate & Hardware | 4,730,124 | — | — | 4,730,124 | ||||||||||||
Miscellaneous - Manufacturing | 2,074,356 | — | — | 2,074,356 | ||||||||||||
Office Furnishings | 672,910 | — | — | 672,910 | ||||||||||||
Oil & Gas | 7,811,304 | — | — | 7,811,304 | ||||||||||||
Oil & Gas Services | 4,729,531 | — | — | 4,729,531 | ||||||||||||
Packaging & Containers | 6,957,193 | — | — | 6,957,193 | ||||||||||||
Pharmaceuticals | 27,822,822 | — | — | 27,822,822 | ||||||||||||
Real Estate | 2,955,588 | — | — | 2,955,588 | ||||||||||||
REITS | 11,497,877 | — | — | 11,497,877 | ||||||||||||
Retail | 48,330,942 | — | — | 48,330,942 | ||||||||||||
Semiconductors | 9,268,156 | — | — | 9,268,156 | ||||||||||||
Software | 51,517,966 | — | — | 51,517,966 | ||||||||||||
Telecommunications | 7,778,882 | — | — | 7,778,882 | ||||||||||||
Transportation | 14,769,641 | — | — | 14,769,641 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 446,618,147 | — | — | 446,618,147 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
Oil & Gas | — | 0 | * | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | — | 0 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 26,170,543 | — | 26,170,543 | ||||||||||||
Securities Lending Collateral | — | 43,387,898 | — | 43,387,898 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 69,558,441 | — | 69,558,441 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 151,925 | — | — | 151,925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 151,925 | — | — | 151,925 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 446,770,072 | $ | 69,558,441 | $ | — | $ | 516,328,513 | ||||||||
|
|
|
|
|
|
|
|
173
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† | ||||||||||||||||
Buys | $ | (5,648 | ) | $ | — | $ | — | $ | (5,648 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (5,648 | ) | — | — | (5,648 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (5,648 | ) | $ | — | $ | — | $ | (5,648 | ) | ||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of March 31, 2015. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Non-US Core Equity
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 46,357,210 | $ | 0 | * | $ | — | $ | 46,357,210 | |||||||
Austria | 11,030,760 | — | — | 11,030,760 | ||||||||||||
Belgium | 12,018,432 | — | — | 12,018,432 | ||||||||||||
Bermuda | 13,577,174 | — | — | 13,577,174 | ||||||||||||
Brazil | 5,241,269 | — | — | 5,241,269 | ||||||||||||
Canada | 11,379,721 | — | — | 11,379,721 | ||||||||||||
Cayman Islands | 24,642,181 | — | — | 24,642,181 | ||||||||||||
China | 8,730,872 | — | — | 8,730,872 | ||||||||||||
Denmark | 41,118,741 | — | — | 41,118,741 | ||||||||||||
Finland | 37,688,759 | — | — | 37,688,759 | ||||||||||||
France | 179,873,308 | — | — | 179,873,308 | ||||||||||||
Germany | 186,178,214 | — | — | 186,178,214 | ||||||||||||
Hong Kong | 9,159,820 | — | — | 9,159,820 | ||||||||||||
India | 14,571,700 | — | — | 14,571,700 | ||||||||||||
Indonesia | 11,629,548 | — | — | 11,629,548 | ||||||||||||
Ireland | 6,903,249 | — | — | 6,903,249 | ||||||||||||
Isle Of Man | 377,701 | — | — | 377,701 | ||||||||||||
Italy | 32,713,546 | — | — | 32,713,546 | ||||||||||||
Japan | 423,533,590 | — | — | 423,533,590 | ||||||||||||
Luxembourg | 5,718,752 | — | — | 5,718,752 | ||||||||||||
Malaysia | 2,386,168 | — | — | 2,386,168 | ||||||||||||
Malta | 1,464,774 | — | — | 1,464,774 | ||||||||||||
Mexico | 9,499,534 | — | — | 9,499,534 | ||||||||||||
Netherlands | 117,931,296 | — | — | 117,931,296 | ||||||||||||
New Zealand | 7,010,095 | — | — | 7,010,095 | ||||||||||||
Norway | 34,656,558 | — | — | 34,656,558 | ||||||||||||
Portugal | 3,174,032 | — | 100,852 | 3,274,884 |
174
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Singapore | $ | 11,826,093 | $ | — | $ | — | $ | 11,826,093 | ||||||||
South Africa | 3,664,242 | — | — | 3,664,242 | ||||||||||||
South Korea | 10,776,930 | — | — | 10,776,930 | ||||||||||||
Spain | 50,050,476 | — | 0 | ** | 50,050,476 | |||||||||||
Sweden | 76,301,167 | — | — | 76,301,167 | ||||||||||||
Switzerland | 152,940,487 | — | — | 152,940,487 | ||||||||||||
Taiwan | 14,994,680 | — | — | 14,994,680 | ||||||||||||
Thailand | 1,164,626 | 1,187,576 | — | 2,352,202 | ||||||||||||
United Kingdom | 303,322,473 | — | — | 303,322,473 | ||||||||||||
United States | 34,025,782 | — | — | 34,025,782 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,917,633,960 | 1,187,576 | 100,852 | 1,918,922,388 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 19,341,736 | — | — | 19,341,736 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 19,341,736 | — | — | 19,341,736 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 2,407,420 | — | — | 2,407,420 | ||||||||||||
Germany | 22,955,076 | — | — | 22,955,076 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 25,362,496 | — | — | 25,362,496 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Spain | 31,442 | — | — | 31,442 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 31,442 | — | — | 31,442 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options | — | 1,602 | — | 1,602 | ||||||||||||
Put Options | — | 363,778 | — | 363,778 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | — | 365,380 | — | 365,380 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 107,789,751 | — | 107,789,751 | ||||||||||||
Securities Lending Collateral | — | 112,388,673 | — | 112,388,673 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 220,178,424 | — | 220,178,424 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 151,385 | — | — | 151,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 151,385 | — | — | 151,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,962,521,019 | $ | 221,731,380 | $ | 100,852 | $ | 2,184,353,251 | ||||||||
|
|
|
|
|
|
|
|
* | Represents one or more Level 2 securities at $0 value as of March 31, 2015. |
** | Represents one or more Level 3 securities at $0 value as of March 31, 2015. |
† | Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
175
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Core Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 103,342,826 | $ | — | $ | 103,342,826 | ||||||||
Corporate Debt | — | 334,213,947 | 0 | ** | 334,213,947 | |||||||||||
Mortgage Backed Securities - Private Issuers | — | 94,631,228 | — | 94,631,228 | ||||||||||||
Mortgage Backed Securities - U.S. Government Agency Obligations | — | 234,845,976 | — | 234,845,976 | ||||||||||||
Municipal Obligations | — | 24,410,305 | — | 24,410,305 | ||||||||||||
Sovereign Debt Obligations | — | 4,417,870 | — | 4,417,870 | ||||||||||||
U.S. Government and Agency Obligations | — | 77,458,889 | — | 77,458,889 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 873,321,041 | 0 | 873,321,041 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Diversified Financial Services | 2,827,032 | — | — | 2,827,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 2,827,032 | — | — | 2,827,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Options Purchased | ||||||||||||||||
Call Options | 120,047 | — | — | 120,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Options Purchased | 120,047 | — | — | 120,047 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 49,457,834 | — | 49,457,834 | ||||||||||||
Securities Lending Collateral | — | 4,499,360 | — | 4,499,360 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 53,957,194 | — | 53,957,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 115,882 | — | — | 115,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 115,882 | — | — | 115,882 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Credit Default Swaps† | — | 10,341 | — | 10,341 | ||||||||||||
Centrally Cleared Interest Rate Swaps† | — | 8,768 | — | 8,768 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | 19,109 | — | 19,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,062,961 | $ | 927,297,344 | $ | 0 | $ | 930,360,305 | ||||||||
|
|
|
|
|
|
|
|
176
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Futures Contracts† | ||||||||||||||||
Buys | $ | (18 | ) | $ | — | $ | — | $ | (18 | ) | ||||||
Sales | (107,366 | ) | — | — | (107,366 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (107,384 | ) | — | — | (107,384 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Swaps | ||||||||||||||||
Centrally Cleared Interest Rate Swaps† | — | (186,961 | ) | — | (186,961 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Swaps | — | (186,961 | ) | — | (186,961 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Written Options | (42,281 | ) | — | — | (42,281 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (149,665 | ) | $ | (186,961 | ) | $ | — | $ | (336,626 | ) | |||||
|
|
|
|
|
|
|
|
** | Represents one or more Level 3 securities at $0 value as of March 31, 2015. |
† | Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Opportunistic Fixed
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Debt Obligations | ||||||||||||||||
Corporate Debt | $ | — | $ | 194,963,401 | $ | — | $ | 194,963,401 | ||||||||
Sovereign Debt Obligations | — | 178,891,513 | — | 178,891,513 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 373,854,914 | — | 373,854,914 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 13,822,803 | — | 13,822,803 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 13,822,803 | — | 13,822,803 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 287,957 | — | 287,957 | ||||||||||||
Sales | — | 4,993,894 | — | 4,993,894 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 5,281,851 | — | 5,281,851 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 392,959,568 | $ | — | $ | 392,959,568 | ||||||||
|
|
|
|
|
|
|
|
177
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | $ | — | $ | (2,873,996 | ) | $ | — | $ | (2,873,996 | ) | ||||||
Sales | — | (326,386 | ) | — | (326,386 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (3,200,382 | ) | — | (3,200,382 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (395,458 | ) | — | — | (395,458 | ) | ||||||||||
Sales | (68,430 | ) | — | — | (68,430 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (463,888 | ) | — | — | (463,888 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (463,888 | ) | $ | (3,200,382 | ) | $ | — | $ | (3,664,270 | ) | |||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Emerging Markets
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Bermuda | $ | 3,406,397 | $ | — | $ | — | $ | 3,406,397 | ||||||||
Brazil | 68,264,470 | 11,157 | — | 68,275,627 | ||||||||||||
Cayman Islands | 55,037,198 | — | — | 55,037,198 | ||||||||||||
Chile | 11,259,016 | — | — | 11,259,016 | ||||||||||||
China | 123,498,883 | — | — | 123,498,883 | ||||||||||||
Colombia | 1,196,603 | — | — | 1,196,603 | ||||||||||||
Czech Republic | 4,930,319 | — | — | 4,930,319 | ||||||||||||
Denmark | 1,347,530 | — | — | 1,347,530 | ||||||||||||
Hong Kong | 52,152,377 | — | — | 52,152,377 | ||||||||||||
Hungary | 2,653,419 | — | — | 2,653,419 | ||||||||||||
India | 107,099,060 | — | — | 107,099,060 | ||||||||||||
Indonesia | 33,903,581 | — | — | 33,903,581 | ||||||||||||
Luxembourg | 2,190,987 | — | — | 2,190,987 | ||||||||||||
Malaysia | 31,351,992 | — | — | 31,351,992 | ||||||||||||
Mexico | 40,342,173 | — | — | 40,342,173 | ||||||||||||
Netherlands | 361,427 | — | — | 361,427 | ||||||||||||
Panama | 1,618,568 | — | — | 1,618,568 | ||||||||||||
Peru | 128,651 | — | — | 128,651 | ||||||||||||
Philippines | 3,920,095 | — | — | 3,920,095 | ||||||||||||
Poland | 9,045,979 | — | — | 9,045,979 | ||||||||||||
Qatar | 4,372,537 | — | — | 4,372,537 |
178
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Russia | $ | 22,081,629 | $ | — | $ | — | $ | 22,081,629 | ||||||||
Singapore | 1,458,196 | — | — | 1,458,196 | ||||||||||||
South Africa | 63,004,174 | — | — | 63,004,174 | ||||||||||||
South Korea | 117,877,419 | — | — | 117,877,419 | ||||||||||||
Taiwan | 135,244,827 | — | — | 135,244,827 | ||||||||||||
Thailand | 21,718,033 | 13,075,123 | — | 34,793,156 | ||||||||||||
Turkey | 16,780,941 | — | — | 16,780,941 | ||||||||||||
United Arab Emirates | 4,070,716 | — | — | 4,070,716 | ||||||||||||
United Kingdom | 20,036,677 | — | — | 20,036,677 | ||||||||||||
United States | 405,602 | — | — | 405,602 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 960,759,476 | 13,086,280 | — | 973,845,756 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 13,256,203 | — | — | 13,256,203 | ||||||||||||
Colombia | 861,830 | — | — | 861,830 | ||||||||||||
India | 28,307 | — | — | 28,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 14,146,340 | — | — | 14,146,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 102,878,817 | — | 102,878,817 | ||||||||||||
Investment Fund | — | 4,360,000 | — | 4,360,000 | ||||||||||||
Securities Lending Collateral | — | 15,592,377 | — | 15,592,377 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 122,831,194 | — | 122,831,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | — | 492,566 | — | 492,566 | ||||||||||||
Sales | — | 265,614 | — | 265,614 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 758,180 | — | 758,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 1,645,039 | — | — | 1,645,039 | ||||||||||||
Sales | 168,949 | — | — | 168,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 1,813,988 | — | — | 1,813,988 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | 556,973 | — | 556,973 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 976,719,804 | $ | 137,232,627 | $ | — | $ | 1,113,952,431 | ||||||||
|
|
|
|
|
|
|
|
179 |
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | $ | — | $ | (923,670 | ) | $ | — | $ | (923,670 | ) | ||||||
Sales | — | (454,979 | ) | — | (454,979 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (1,378,649 | ) | — | (1,378,649 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | (132,162 | ) | — | — | (132,162 | ) | ||||||||||
Sales | (37,388 | ) | — | — | (37,388 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | (169,550 | ) | — | — | (169,550 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Synthetic Futures | — | (73,731 | ) | — | (73,731 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (169,550 | ) | $ | (1,452,380 | ) | $ | — | $ | (1,621,930 | ) | |||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
Global Low Volatility
ASSETS VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 12,920,806 | $ | — | $ | — | $ | 12,920,806 | ||||||||
Austria | 4,839,169 | — | — | 4,839,169 | ||||||||||||
Belgium | 8,345,779 | — | — | 8,345,779 | ||||||||||||
Bermuda | 9,039,376 | — | — | 9,039,376 | ||||||||||||
Canada | 35,678,979 | — | — | 35,678,979 | ||||||||||||
Denmark | 5,926,778 | — | — | 5,926,778 | ||||||||||||
Faroe Islands | 224,883 | — | — | 224,883 | ||||||||||||
France | 20,357,851 | — | — | 20,357,851 | ||||||||||||
Germany | 18,247,030 | — | — | 18,247,030 | ||||||||||||
Hong Kong | 4,881,037 | — | — | 4,881,037 | ||||||||||||
Ireland | 4,788,886 | — | — | 4,788,886 | ||||||||||||
Israel | 4,889,633 | — | — | 4,889,633 | ||||||||||||
Italy | 2,727,450 | — | — | 2,727,450 | ||||||||||||
Japan | 50,436,442 | 60,738 | — | 50,497,180 | ||||||||||||
Luxembourg | 677,278 | — | — | 677,278 | ||||||||||||
Mexico | 2,578,465 | — | — | 2,578,465 | ||||||||||||
Netherlands | 16,540,264 | — | — | 16,540,264 | ||||||||||||
New Zealand | 10,976,183 | — | — | 10,976,183 | ||||||||||||
Norway | 7,818,888 | — | — | 7,818,888 | ||||||||||||
Russia | 364,779 | — | — | 364,779 |
180
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Singapore | $ | 3,305,133 | $ | — | $ | — | $ | 3,305,133 | ||||||||
South Africa | 929,593 | — | — | 929,593 | ||||||||||||
South Korea | 2,634,278 | — | — | 2,634,278 | ||||||||||||
Spain | 6,172,043 | — | — | 6,172,043 | ||||||||||||
Sweden | 9,351,342 | — | — | 9,351,342 | ||||||||||||
Switzerland | 23,673,259 | — | — | 23,673,259 | ||||||||||||
Thailand | 735,959 | — | — | 735,959 | ||||||||||||
United Kingdom | 47,538,601 | — | — | 47,538,601 | ||||||||||||
United States | 385,034,901 | — | — | 385,034,901 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 701,635,065 | 60,738 | — | 701,695,803 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | ||||||||||||||||
United States | 10,184,163 | — | — | 10,184,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investment Companies | 10,184,163 | — | — | 10,184,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | 3,116,384 | — | — | 3,116,384 | ||||||||||||
Japan | 287,220 | — | — | 287,220 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 3,403,604 | — | — | 3,403,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | ||||||||||||||||
Spain | 30,149 | — | — | 30,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Rights | 30,149 | — | — | 30,149 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Warrants | ||||||||||||||||
United States | 761,304 | — | — | 761,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Warrants | 761,304 | — | — | 761,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Debt Obligations | — | 1,821,184 | — | 1,821,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Debt Obligations | — | 1,821,184 | — | 1,821,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Bank Deposits | — | 99,859,870 | — | 99,859,870 | ||||||||||||
Securities Lending Collateral | — | 23,028,187 | — | 23,028,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | — | 122,888,057 | — | 122,888,057 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Sales | — | 483,835 | — | 483,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | 483,835 | — | 483,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts† | ||||||||||||||||
Buys | 37,285 | — | — | 37,285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Futures Contracts | 37,285 | — | — | 37,285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 716,051,570 | $ | 125,253,814 | $ | — | $ | 841,305,384 | ||||||||
|
|
|
|
|
|
|
|
181
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
LIABILITIES VALUATION INPUT
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Forward Foreign Currency Contracts† | ||||||||||||||||
Buys | $ | — | $ | (12,884 | ) | $ | — | $ | (12,884 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Forward Foreign Currency Contracts | — | (12,884 | ) | — | (12,884 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | (12,884 | ) | $ | — | $ | (12,884 | ) | ||||||
|
|
|
|
|
|
|
|
† | Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:
Non-US Core Equity
Transfers In | Transfers Out | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Common Stocks | $ | 1,164,626 | * | $ | — | $ | — | $ | 1,164,626 | * |
Emerging Markets
Transfers In | Transfers Out | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Common Stocks | $ | 7,601,682 | * | $ | — | $ | — | $ | 7,601,682 | * |
Global Low Volatility
Transfers In | Transfers Out | |||||||||||||||
Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | |||||||||||||
Common Stocks | $ | — | $ | 60,738 | ** | $ | 60,738 | ** | $ | — |
* | Transfers occurred between Level 1 and Level 2 as a result of foreign securities receiving an exchange traded price. |
** | Transfers occurred between Level 1 and Level 2 as a result of foreign securities not receiving an exchange traded price. |
For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.
182
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
The following table includes a rollforward of the amounts for the year ended March 31, 2015 for financial instruments classified as Level 3:
Non-US Core Equity
Investments | Balance as of March 31, 2014 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases | Balance as of March 31, 2015 | Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2015 | ||||||||||||||||||||||||||||
COMMON STOCKS |
| ||||||||||||||||||||||||||||||||||
Portugal | $ | — | $ | — | $ | (788,519 | ) | $ | — | $ | 889,371 | $ | 100,852 | $ | (788,519 | ) | |||||||||||||||||||
Spain | — | — | (568,601 | ) | — | 568,601 | — | ^ | (568,601 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | — | $ | — | $ | (1,357,120 | ) | $ | — | $ | 1,457,972 | $ | 100,852 | $ | (1,357,120 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents one security at $0 value as of March 31, 2015. |
Core Fixed
Investments | Balance as of March 31, 2014 | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Net Transfers In (Out) of Level 3 | Purchases/ Sales | Balance as of March 31, 2015 | Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2015 | ||||||||||||||||||||||||||||
DEBT OBLIGATIONS |
| ||||||||||||||||||||||||||||||||||
Corporate Debt | $ | 0^ | $ | (142,888 | ) | $ | 142,888 | $ | — | $ | — | $ | 0^^ | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||
Total | $ | 0^ | $ | (142,888 | ) | $ | 142,888 | $ | — | $ | — | $ | 0^^ | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^ | Represents four securities at $0 value as of March 31, 2014. |
^^ | Represents three securities at $0 value as of March 31, 2015. |
Investments in Derivative Instruments
Large Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility held rights during the year as a result of corporate actions. Small/Mid Cap Growth, Non-US Core Equity, Core Fixed and Global Low Volatility held warrants during the year as a result of corporate actions.
At March 31, 2015 and during the year then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:
Large Cap Growth
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 13,337 | $ | 13,337 | ||||
|
|
|
| |||||
Total Value | $ | 13,337 | $ | 13,337 | ||||
|
|
|
|
183
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
LIABILITY DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (188,397 | ) | $ | (188,397 | ) | ||
|
|
|
| |||||
Total Value | $ | (188,397 | ) | $ | (188,397 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | 1,713,902 | $ | 1,713,902 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 1,713,902 | $ | 1,713,902 | ||||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(14) | $ | (175,060 | ) | $ | (175,060 | ) | ||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | (175,060 | ) | $ | (175,060 | ) | ||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Futures Contracts | 130 | 130 |
Large Cap Value
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | 20,433 | $ | 20,433 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 20,433 | $ | 20,433 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3) | $ | — | $ | (151,467 | ) | $ | (151,467 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | (151,467 | ) | $ | (151,467 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(9) | $ | — | $ | 1,042,063 | $ | 1,042,063 | ||||||
Forward Foreign Currency Contracts(8) | 136,707 | — | 136,707 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 136,707 | $ | 1,042,063 | $ | 1,178,770 | ||||||
|
|
|
|
|
|
184
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(14) | $ | — | $ | (131,034 | ) | $ | (131,034 | ) | ||||
Forward Foreign Currency Contracts(13) | 23,526 | — | 23,526 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 23,526 | $ | (131,034 | ) | $ | (107,508 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 1,394 | 1,394 | |||||||||
Futures Contracts | — | 124 | 124 | |||||||||
Forward Foreign Currency Contracts | (35,119 | ) | — | (35,119 | ) |
Small/Mid Cap Growth
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Warrants(1) | $ | 0 | * | $ | 0 | |||
Futures Contracts(3) | 151,925 | 151,925 | ||||||
|
|
|
| |||||
Total Value | $ | 151,925 | $ | 151,925 | ||||
|
|
|
|
LIABILITY DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | (5,648 | ) | $ | (5,648 | ) | ||
|
|
|
| |||||
Total Value | $ | (5,648 | ) | $ | (5,648 | ) | ||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | 1,794,034 | $ | 1,794,034 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 1,794,034 | $ | 1,794,034 | ||||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Warrants(12) | $ | 1 | $ | 1 | ||||
Futures Contracts(14) | 146,277 | 146,277 | ||||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 146,278 | $ | 146,278 | ||||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Warrants | 27,862 | 27,862 | ||||||
Futures Contracts | 152 | 152 |
185
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Small/Mid Cap Value
ASSET DERIVATIVES
Equity Risk | Total | |||||||
Futures Contracts(3) | $ | 234,365 | $ | 234,365 | ||||
|
|
|
| |||||
Total Value | $ | 234,365 | $ | 234,365 | ||||
|
|
|
|
NET REALIZED GAIN (LOSS)
Equity Risk | Total | |||||||
Futures Contracts(9) | $ | 1,284,202 | $ | 1,284,202 | ||||
|
|
|
| |||||
Total Realized Gain (Loss) | $ | 1,284,202 | $ | 1,284,202 | ||||
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Equity Risk | Total | |||||||
Futures Contracts(14) | $ | 234,365 | $ | 234,365 | ||||
|
|
|
| |||||
Total Change in Appreciation (Depreciation) | $ | 234,365 | $ | 234,365 | ||||
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Equity Risk | Total | |||||||
Futures Contracts | 125 | 125 |
Non-US Core Equity
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(1) | $ | 365,380 | $ | — | $ | 365,380 | ||||||
Rights(1) | — | 31,442 | 31,442 | |||||||||
Futures Contracts(3) | — | 151,385 | 151,385 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 365,380 | $ | 182,827 | $ | 548,207 | ||||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(7) | $ | (212,191 | ) | $ | — | $ | (212,191 | ) | ||||
Rights(7) | — | 577,200 | 577,200 | |||||||||
Warrants(7) | — | 10,301 | 10,301 | |||||||||
Futures Contracts(9) | — | (4,984,208 | ) | (4,984,208 | ) | |||||||
Forward Foreign Currency Contracts(8) | (49 | ) | — | (49 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (212,240 | ) | $ | (4,396,707 | ) | $ | (4,608,947 | ) | |||
|
|
|
|
|
|
186
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased(12) | $ | 153,438 | $ | — | $ | 153,438 | ||||||
Rights(12) | — | (644,983 | ) | (644,983 | ) | |||||||
Futures Contracts(14) | — | 151,835 | 151,835 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 153,438 | $ | (493,148 | ) | $ | (339,710 | ) | ||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Options Purchased | 1,789,735,636 | — | 1,789,735,636 | |||||||||
Rights | — | 400,610 | 400,610 | |||||||||
Warrants | — | 15,550 | 15,550 | |||||||||
Futures Contracts | — | 916 | 916 |
Core Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(1) | $ | 120,047 | $ | — | $ | — | $ | — | $ | 120,047 | ||||||||||
Swaps Contracts(4) | 8,768 | ** | — | 10,341 | ** | — | 19,109 | |||||||||||||
Futures Contracts(3) | 115,882 | — | — | — | 115,882 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | 244,697 | $ | — | $ | 10,341 | $ | — | $ | 255,038 | ||||||||||
|
|
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Written(6) | $ | (42,281 | ) | $ | — | $ | — | $ | — | $ | (42,281 | ) | ||||||||
Swaps Contracts(4) | (186,961 | )** | — | — | — | (186,961 | ) | |||||||||||||
Futures Contracts(3) | (107,384 | ) | — | — | — | (107,384 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Value | $ | (336,626 | ) | $ | — | $ | — | $ | — | $ | (336,626 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(7) | $ | (238,539 | ) | $ | — | $ | — | $ | — | $ | (238,539 | ) | ||||||||
Options Written(10) | 82,713 | — | — | — | 82,713 | |||||||||||||||
Warrants(7) | — | — | — | 25 | 25 | |||||||||||||||
Swaps Contracts(11) | (309,192 | ) | — | (160,515 | ) | — | (469,707 | ) | ||||||||||||
Futures Contracts(9) | (204,355 | ) | — | — | — | (204,355 | ) | |||||||||||||
Forward Foreign Currency Contracts(8) | — | (64,765 | ) | — | — | (64,765 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Realized Gain (Loss) | $ | (669,373 | ) | $ | (64,765 | ) | $ | (160,515 | ) | $ | 25 | $ | (894,628 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
187
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
CHANGE IN APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased(12) | $ | 55,348 | $ | — | $ | — | $ | — | $ | 55,348 | ||||||||||
Options Written(15) | (6,416 | ) | — | — | — | (6,416 | ) | |||||||||||||
Swaps Contracts(16) | (178,193 | ) | — | 10,341 | — | (167,852 | ) | |||||||||||||
Futures Contracts(14) | 8,630 | — | — | — | 8,630 | |||||||||||||||
Forward Foreign Currency Contracts(13) | — | 60,806 | — | — | 60,806 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Change in Appreciation (Depreciation) | $ | (120,631 | ) | $ | 60,806 | $ | 10,341 | $ | — | $ | (49,484 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Total | ||||||||||||||||
Options Purchased | 286,714 | — | — | — | 286,714 | |||||||||||||||
Options Written | (3,079,286 | ) | — | — | — | (3,079,286 | ) | |||||||||||||
Warrants | — | — | — | 1 | 1 | |||||||||||||||
Swaps Contracts | 43,033,750 | — | 14,688,571 | — | 57,722,321 | |||||||||||||||
Futures Contracts | 352 | — | — | — | 352 | |||||||||||||||
Forward Foreign Currency Contracts | — | (24,745 | ) | — | — | (24,745 | ) |
Opportunistic Fixed
ASSET DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Forward Foreign Currency Contracts(2) | $ | — | $ | 5,281,851 | $ | 5,281,851 | ||||||
|
|
|
|
|
| |||||||
Total Value | $ | — | $ | 5,281,851 | $ | 5,281,851 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(3) | $ | (463,888 | ) | $ | — | $ | (463,888 | ) | ||||
Forward Foreign Currency Contracts(5) | — | (3,200,382 | ) | (3,200,382 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (463,888 | ) | $ | (3,200,382 | ) | $ | (3,664,270 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(9) | $ | (225,567 | ) | $ | — | $ | (225,567 | ) | ||||
Forward Foreign Currency Contracts(8)† | — | (163,809 | ) | (163,809 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (225,567 | ) | $ | (163,809 | ) | $ | (389,376 | ) | |||
|
|
|
|
|
|
188
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
CHANGE IN APPRECIATION (DEPRECIATION)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts(14) | $ | (463,888 | ) | $ | — | $ | (463,888 | ) | ||||
Forward Foreign Currency Contracts(13)† | — | 1,584,260 | 1,584,260 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (463,888 | ) | $ | 1,584,260 | $ | 1,120,372 | |||||
|
|
|
|
|
|
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Interest Rate Risk | Foreign Exchange Risk | Total | ||||||||||
Futures Contracts | 672 | — | 672 | |||||||||
Forward Foreign Currency Contracts† | — | (3,688,856 | ) | (3,688,856 | ) |
Emerging Markets
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | 2,370,961 | $ | 2,370,961 | ||||||
Forward Foreign Currency Contracts(2) | 758,180 | — | 758,180 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 758,180 | $ | 2,370,961 | $ | 3,129,141 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(3)†† | $ | — | $ | (243,281 | ) | $ | (243,281 | ) | ||||
Forward Foreign Currency Contracts(5) | (1,378,649 | ) | — | (1,378,649 | ) | |||||||
|
|
|
|
|
| |||||||
Total Value | $ | (1,378,649 | ) | $ | (243,281 | ) | $ | (1,621,930 | ) | |||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 224,951 | $ | 224,951 | ||||||
Futures Contracts(9)†† | — | 1,301,338 | 1,301,338 | |||||||||
Forward Foreign Currency Contracts(8) | (4,415,535 | ) | — | (4,415,535 | ) | |||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | (4,415,535 | ) | $ | 1,526,289 | $ | (2,889,246 | ) | ||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Futures Contracts(14)†† | $ | — | $ | 1,143,168 | $ | 1,143,168 | ||||||
Forward Foreign Currency Contracts(13) | (1,132,507 | ) | — | (1,132,507 | ) | |||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | (1,132,507 | ) | $ | 1,143,168 | $ | 10,661 | |||||
|
|
|
|
|
|
189
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 186,807 | 186,807 | |||||||||
Futures Contracts†† | — | 41,005 | 41,005 | |||||||||
Forward Foreign Currency Contracts | 33,732,954 | — | 33,732,954 |
Global Low Volatility
ASSET DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(1) | $ | — | $ | 30,149 | $ | 30,149 | ||||||
Warrants(1) | — | 761,304 | 761,304 | |||||||||
Futures Contracts(3) | 1,250 | 36,035 | 37,285 | |||||||||
Forward Foreign Currency Contracts(2) | 483,835 | — | 483,835 | |||||||||
|
|
|
|
|
| |||||||
Total Value | $ | 485,085 | $ | 827,488 | $ | 1,312,573 | ||||||
|
|
|
|
|
|
LIABILITY DERIVATIVES
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Forward Foreign Currency Contracts(5) | $ | (12,884 | ) | $ | — | $ | (12,884 | ) | ||||
|
|
|
|
|
| |||||||
Total Value | $ | (12,884 | ) | $ | — | $ | (12,884 | ) | ||||
|
|
|
|
|
|
NET REALIZED GAIN (LOSS)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(7) | $ | — | $ | 60,830 | $ | 60,830 | ||||||
Warrants(7) | — | 16,974 | 16,974 | |||||||||
Futures Contracts(9) | (31,363 | ) | 1,720,791 | 1,689,428 | ||||||||
Forward Foreign Currency Contracts(8) | 1,918,511 | — | 1,918,511 | |||||||||
|
|
|
|
|
| |||||||
Total Realized Gain (Loss) | $ | 1,887,148 | $ | 1,798,595 | $ | 3,685,743 | ||||||
|
|
|
|
|
|
CHANGE IN APPRECIATION (DEPRECIATION)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights(12) | $ | — | $ | 30,149 | $ | 30,149 | ||||||
Warrants(12) | — | 43,660 | 43,660 | |||||||||
Futures Contracts(14) | 1,250 | 36,035 | 37,285 | |||||||||
Forward Foreign Currency Contracts(13) | 379,933 | — | 379,933 | |||||||||
|
|
|
|
|
| |||||||
Total Change in Appreciation (Depreciation) | $ | 381,183 | $ | 109,844 | $ | 491,027 | ||||||
|
|
|
|
|
|
190
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS(17)
Foreign Exchange Risk | Equity Risk | Total | ||||||||||
Rights | — | 114,316 | 114,316 | |||||||||
Warrants | — | 34,589 | 34,589 | |||||||||
Futures Contracts | 10 | 351 | 361 | |||||||||
Forward Foreign Currency Contracts | (12,011,288 | ) | — | (12,011,288 | ) |
* | Represents one security at $0 value as of March 31, 2015. |
** | Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities. |
† | Includes Cross Currency Foreign Currency Contracts. |
†† | Includes Synthetic Futures. |
(1) | Statements of Assets and Liabilities location: Investments, at value. |
(2) | Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts. |
(3) | Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. Synthetic futures are presented as Synthetic futures, at value within the Statements of Assets and Liabilities. |
(4) | Statements of Assets and Liabilities location: Swap contracts, at value and Variation margin receivable and Variation margin payable on swap contracts. |
(5) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts. |
(6) | Statements of Assets and Liabilities location: Written options, at value. |
(7) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Investments. |
(8) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions. |
(9) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts. |
(10) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts. |
(11) | Statements of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts. |
(12) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments. |
(13) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions. |
(14) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts. |
(15) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts. |
(16) | Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts. |
(17) | Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the months that the Fund held such derivatives during the year ended March 31, 2015. |
The Portfolio follows FASB ASC 815-10-50 “Disclosures about Credit Derivatives and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments with embedded credit derivatives (for example, credit-linked notes), and certain guarantees.
191
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
The following is a summary of open centrally cleared credit default swap positions held in Core Fixed at March 31, 2015:
Notional Amount | Currency | Expiration Date | Counterparty | Buy/Sell Protection | Maximum Potential Amount of Future Payments Under the Contract | Receive (Pay) Fixed Rate | Deliverable | Unrealized Appreciation (Depreciation) | Value | |||||||||||||||||||||||||
17,000,000 | USD | 06/20/20 | JPMorgan Chase N.A. | Buy | $ | 17,000,000 | (1.00 | %) | CDX.IG.24 CG24 | $ | 10,341 | $ | (304,590 | ) |
Netting Agreements and Collateral Requirements
In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with certain collateral held and/or posted and create a net payment. The provisions of the ISDA Master Agreement typically permit a net payment in the event of default including the bankruptcy or insolvency of the counterparty. Absent an event of default by the counterparty or termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or if the Funds fails to meet the terms of its ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively. Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
The Funds are required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowings transactions that are
192
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
eligible for offset or subject to an enforceable master netting or similar agreement. The Funds’ derivative assets and liabilities at fair value by risk are presented in the tables above. For financial reporting purposes the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of related collateral received by the Funds for assets or pledged by the Funds for liabilities as of March 31, 2015.
Non-US Core Equity
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Deutsche Bank AG | $ | 1,602 | $ | — | $ | — | $ | 1,602 | ||||||||
UBS AG | 363,778 | — | — | 363,778 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 365,380 | $ | — | $ | — | $ | 365,380 | |||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Opportunistic Fixed
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Barclays Bank Plc | $ | 46,624 | $ | — | $ | — | $ | 46,624 | ||||||||
Citibank N.A. | 3,813,791 | (1,450,360 | ) | — | 2,363,431 | |||||||||||
Deutsche Bank AG | 447,186 | (447,186 | ) | — | — | |||||||||||
Goldman Sachs | 772,861 | (772,861 | ) | — | — | |||||||||||
Standard Chartered Bank | 201,389 | (201,389 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 5,281,851 | $ | (2,871,796 | ) | $ | — | $ | 2,410,055 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Citibank N.A. | $ | (1,450,360 | ) | $ | 1,450,360 | $ | — | $ | — | |||||||
Deutsche Bank AG | (480,799 | ) | 447,186 | — | (33,613 | ) | ||||||||||
Goldman Sachs | (806,720 | ) | 772,861 | — | (33,859 | ) | ||||||||||
JPMorgan Chase Bank | (24,446 | ) | — | — | (24,446 | ) | ||||||||||
Standard Chartered Bank | (438,057 | ) | 201,389 | — | (236,668 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (3,200,382 | ) | $ | 2,871,796 | $ | — | $ | (328,586 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
193
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Emerging Markets
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Citibank N.A. London | $ | 758,180 | $ | (758,180 | ) | $ | — | $ | — | |||||||
Goldman Sachs & Co. | 556,973 | (73,731 | ) | — | 483,242 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 1,315,153 | $ | (831,911 | ) | $ | — | $ | 483,242 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
Citibank N.A. London | $ | (1,378,649 | ) | $ | 758,180 | $ | — | $ | (620,469 | ) | ||||||
Goldman Sachs & Co. | (73,731 | ) | 73,731 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (1,452,380 | ) | $ | 831,911 | $ | — | $ | (620,469 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
* | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
Global Low Volatility
Offsetting of Financial Assets and Derivative Assets:
Counterparty | Derivative Assets Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Received* | Net Amount of Derivative Assets(a) | ||||||||||||
Bank of New York | $ | 3,843 | $ | — | $ | — | $ | 3,843 | ||||||||
JPMorgan Chase Bank | 129,586 | (2,795 | ) | — | 126,791 | |||||||||||
UBS AG | 350,406 | (10,089 | ) | — | 340,317 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 483,835 | $ | (12,884 | ) | $ | — | $ | 470,951 | ||||||||
|
|
|
|
|
|
|
|
Offsetting of Financial Liabilities and Derivative Liabilities:
Counterparty | Derivative Liabilities Subject to MNA | Derivative Assets/(Liabilities) available for offset | Collateral Pledged* | Net Amount of Derivative Assets(b) | ||||||||||||
JPMorgan Chase Bank | $ | (2,795 | ) | $ | 2,795 | $ | — | $ | — | |||||||
UBS AG | (10,089 | ) | 10,089 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (12,884 | ) | $ | 12,884 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) | Represents the net amount receivable from the counterparty in the event of default. |
(b) | Represents the net amount payable to the counterparty in the event of default. |
�� | * | In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization. |
194
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
(b) Security transactions and related investment income
Security transactions are accounted for on trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis, and is adjusted for amortization of premium and discounts for debt securities. Income is not recognized, nor are premium and discount amortized, on securities for which collection is not expected. Withholding taxes on foreign dividend, interest, and capital gains have been provided for in accordance with the respective country’s tax rules and rates. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income on inflation indexed securities is accrued daily based upon an inflation-adjusted principal. Additionally, any increase in the principal or face amount of these securities is recorded as interest income. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified-cost basis.
(c) Cash and short term investments
A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.
A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.
(d) Securities lending
A Fund may lend its portfolio securities to qualified broker/dealers and financial institutions pursuant to agreements, provided: (1) the loan is secured continuously by collateral marked-to-market daily and maintained in an amount at least equal to the current fair value of the securities loaned; (2) the Fund may call the loan at any time and receive the securities loaned; (3) the Fund will receive any interest or dividends paid on the loaned securities; and (4) the aggregate fair value of securities loaned will not at any time exceed 33 1/3% of the total assets of the Fund. Collateral will consist of U.S. and non-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.
Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, is authorized to lend Fund portfolio securities to qualified broker/dealers and financial institutions that post appropriate collateral. The Custodian has agreed to indemnify the Funds in case of default of any security borrower.
The securities lending revenue earned from April 1, 2014 through December 11, 2014 is shown in the Statement of Operations as “Securities lending income– affiliated”. SSGA Funds Management, Inc. (SSGA), an affiliate of the Custodian, acted as sub advisor to Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility during that period. On December 12, 2014, the Funds’ participation in the Custodian’s securities lending program was suspended.
Mercer terminated SSGA as sub advisor to the Funds, as noted above, on February 25, 2015 and the Funds resumed the securities lending program February 26, 2015. Securities lending income earned in the period from February 26, 2015 through March 31, 2015 is shown in the Statement of Operations as “Securities lending income”. The Custodian reimbursed the Funds the amount of foregone revenue the Funds would have earned from securities lending from December 12, 2014 through February 25, 2015, which is shown in the Statement of Operations as “Other income — affiliated”.
195
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Securities on loan are fully collateralized and the collateral was equal to or exceeded the securities on loan at March 31, 2015. Cash collateral is invested in the State Street Institutional U.S. Government Money Market Fund, Premier Class. The Custodian receives a portion of the interest earned on any reinvested collateral. The market value of securities on loan to borrowers and the value of collateral held by the Funds with respect to such loans at March 31, 2015 were as follows:
Market Value of Loaned Securities | Value of Cash Collateral | Value of Non-Cash Collateral | ||||||||||
Large Cap Growth | $ | 7,930,256 | $ | 8,089,381 | $ | — | ||||||
Large Cap Value | 8,340,465 | 8,633,539 | — | |||||||||
Small/Mid Cap Growth | 42,039,622 | 43,387,898 | — | |||||||||
Small/Mid Cap Value | 19,591,025 | 20,091,525 | 76,155 | |||||||||
Non-US Core Equity | 111,757,421 | 112,388,673 | 5,785,633 | |||||||||
Core Fixed | 4,363,716 | 4,499,360 | — | |||||||||
Emerging Markets | 14,801,744 | 15,592,377 | — | |||||||||
Global Low Volatility | 22,158,490 | 23,028,187 | — |
(e) Repurchase agreements
A Fund may enter into a repurchase agreement under the terms of a Master Repurchase Agreement (“MRA”) where the Fund purchases securities from a bank or broker/dealer who simultaneously agrees to repurchase the securities at a mutually agreed upon time and price, thereby determining the yield during the term of the agreement. As a result, a repurchase agreement provides a fixed rate of return insulated from market fluctuations during the term of the agreement. The term of a repurchase agreement generally is short, possibly overnight or for a few days, although it may extend over a number of months (up to one year) from the date of delivery. Repurchase agreements are considered under the 1940 Act to be collateralized loans by a Fund to a seller secured by the securities transferred to the Fund. Repurchase agreements are fully collateralized and the collateral is marked-to-market daily. A Fund may not enter into a repurchase agreement having more than seven days remaining to maturity if, as a result, such agreement, together with any other illiquid securities held by the Fund, would exceed 15% of the value of the net assets of the Fund.
An MRA permits the Funds, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Funds. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds would recognize a liability with respect to such excess collateral to reflect the Funds’ obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2015, none of the Funds held open repurchase agreements.
(f) Swaps
Swap contracts are derivatives in the form of a contract or similar instrument, which is an agreement to exchange the return generated by one instrument for the return generated by another instrument. A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, and index swaps, and the purchase or sale of related caps, floors, collars, and other derivative instruments. A Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio, to modify the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. Up-front payments received or made are reflected as “up-front net premiums received” or “up-front net
196
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
premiums paid”, respectively, on the Statement of Assets and Liabilities. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.
The credit default swap agreements may have as reference obligations one or more securities that are not currently held by a Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If a Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
The spread of a credit default swap is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit worthiness and an increased market perception that there is a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, as well as the annual payment rates, serve as an indication of the current status of the payment/performance risk.
Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.
The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis, i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.
Whether a Fund’s use of swap agreements or swap options will be successful in achieving the Fund’s investment objective will depend on the Subadvisor’s ability to predict correctly whether certain types of investments are likely to produce greater returns than other investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Funds will enter into swap agreements only with counterparties that meet certain standards of creditworthiness.
If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap contract counterparty will be able to meet its obligations pursuant to a swap contract or that, in the event of a default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to a swap contract. However, the amount at risk is only the net unrealized gain, if any, on the swap at the time of default, and not the entire notional amount of the swap contract now that the potential loss can be mitigated by the posting of collateral and offsetting provisions of the ISDA. The Subadvisor that enters into the swap agreement will closely monitor, subject to the oversight of the Board, the creditworthiness of swap counterparties in order to minimize the risk of counterparty default on swaps.
197
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Because swaps are two party contracts that may be subject to contractual restrictions on transferability and termination, and they may have terms of greater than seven days, swap agreements may be considered to be illiquid and subject to a Fund’s limitation on investments in illiquid securities. However, the Trust has adopted procedures pursuant to which the Advisor may determine that swaps (including swap options) are liquid under certain circumstances. To the extent that a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses.
Under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010, a regulatory framework for certain OTC derivatives, such as swaps was enacted. The Dodd-Frank Act requires many swap transactions to be executed on registered exchanges or through swap execution facilities, cleared through a regulated clearinghouse, and publicly reported. In addition, many market participants are now regulated as swap dealers or swap participants, and are subject to certain minimum capital and margin requirements and business conduct standards.
The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Funds’ ability to terminate existing swap agreements or to realize amounts to be received under such agreements.
Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Cash margin is recorded on the Statements of Assets and Liabilities as cash collateral held at broker on open swap contracts. Swap agreements are marked to market daily. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
A Fund will accrue for interim payments on swap contracts on a daily basis, with the net amount recorded as interest payable or receivable on swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap contracts, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statements of Operations. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).
Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.
The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.
The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.
198
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.
During the year ended March 31, 2015, Core Fixed used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed Schedule of Investments for a listing of open swap agreements as of March 31, 2015.
(g) Futures
A futures contract is a contractual agreement to buy or sell a specific amount of a commodity or financial instrument at a predetermined price on a stipulated future date. A Fund may enter into contracts for the purchase or sale for future delivery of securities, indices and foreign currencies. Futures contracts may be opened to protect against the adverse effects of fluctuations in security prices, interest rates, or foreign exchange rates without actually buying or selling the securities or foreign currency. A Fund also may enter into futures contracts as a low cost method for gaining or reducing exposure to a particular currency or securities market without directly investing in those currencies or securities.
A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities, indices or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities, indices or foreign currency underlying the contract at a specified price on a specified date.
When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures commission merchant in a segregated account at the custodian bank. Futures contracts are marked-to-market daily, depending upon changes in the price of the underlying securities, indices or foreign currencies subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.
A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the Commodity Futures Trading Commission (“CFTC”) for sale to customers in the United States, or on foreign exchanges. In addition, a Fund may sell stock index futures in anticipation of, or during a market decline to attempt to offset the decrease in the market value of the Fund’s common stocks that might otherwise result, and a Fund may purchase such contracts in order to offset increases in the cost of common stocks that it intends to purchase. Unlike other futures contracts, a stock index futures contract specifies that no delivery of the actual stocks making up the index will take place. Instead, settlement in cash must occur upon the termination of the contract.
In entering into futures contracts and options on futures contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts and options on futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearinghouse will be able to meet its obligations to the Fund.
199
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
While futures contracts provide for the delivery of securities, deliveries usually do not occur. Contracts are generally terminated by entering into offsetting transactions.
Where the futures market is not as developed or where the regulations prevent or make it disadvantageous to trade futures, Emerging Markets will utilize synthetic futures as part of the country selection strategy implementation. A synthetic future operates like a swap transaction and uses equity index swaps on equity index futures. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statement of Operations.
During the year ended March 31, 2015, Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility used futures to equitize cash. Core Fixed and Opportunistic Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See the Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open futures contracts as of March 31, 2015.
(h) Options
The Funds may purchase and sell (write) put and call options on debt securities, currencies and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.
The Funds may enter into swap options (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation), in return for payment of a premium, to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. Each Fund may sell (write) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, upon exercise of the option, the Fund will become obligated according to the terms of the underlying agreement.
When the Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.
Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.
The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the
200
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.
During the year ended March 31, 2015, Non-US Core Equity used options to adjust exposure to foreign currency and to efficiently maintain liquidity. Core Fixed used options to manage interest rate and volatility exposure.
See the Non-US Core Equity and the Core Fixed Schedules of Investments for a listing of options contracts as of March 31, 2015.
Transactions in written option contracts for Core Fixed for the year ended March 31, 2015, is as follows:
Number of Contracts/ Notional Amount | Premiums Received | |||||||
Options outstanding at March 31, 2014 | 175 | $ | 23,279 | |||||
Options written | 1,560 | 263,638 | ||||||
Options terminated in closing purchase transactions | (691 | ) | (134,256 | ) | ||||
Options expired | (784 | ) | (114,514 | ) | ||||
|
|
|
| |||||
Options outstanding at March 31, 2015 | 260 | $ | 38,147 |
(i) Forward foreign currency contracts
The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.
Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts by marking-to-market each day at current forward contract values. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time the contract was opened and the value at the time the contract was closed.
The Funds will only enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when a Fund enters into a forward contract to sell an amount of foreign currency, the Custodian or the Fund’s sub-custodian will segregate assets in a segregated account of the Fund in an amount not less than the value of the Fund’s total assets committed to the consummation of such forward contract. If the additional segregated assets placed in the segregated account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contract.
During the year ended March 31, 2015, Large Cap Value used forward foreign currency contracts to partially hedge Japanese Yen exposure on the currency risk embedded in one ADR position. Opportunistic Fixed used forward foreign currency contracts for a variety of purposes, including hedging, risk management, efficient portfolio management, enhancing total returns, or as a substitute for taking a position in the underlying asset. Emerging Markets and Global Low Volatility used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Funds. See the Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open forward foreign currency contracts as of March 31, 2015.
(j) Foreign currency translation
The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result
201
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.
(k) When-issued securities/TBA securities
Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as TBA securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV. The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date. See the Core Fixed and Opportunistic Fixed Schedules of Investments for TBA and when-issued securities held as of March 31, 2015.
(l) Real estate investment trusts
The Funds may invest in real estate investment trusts (“REITs”), which pool investors’ funds for investment, primarily in income producing real estate or real estate-related loans or interests. A REIT is not taxed on income distributed to its shareholders or unitholders if it complies with regulatory requirements relating to its organization, ownership, assets and income, and with a regulatory requirement to distribute to its shareholders or unitholders at least 90% of its taxable income for each taxable year.
A shareholder in a Fund, by investing in REITs through the Fund, will bear not only the shareholder’s proportionate share of the expenses of the Fund, but also, indirectly, the management expenses of the underlying REITs. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self-liquidations. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income, or the REIT’s failure to maintain exemption from registration under the 1940 Act. Dividends representing a return of capital are reflected as a reduction of cost and/or as a realized gain when the amount of the return of capital is conclusively determined. See each Fund’s Schedule of Investments for REIT securities held as of March 31, 2015.
(m) Mortgage-related and other asset-backed securities
The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and
202
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedule of Investments for mortgage-backed and asset-backed securities held by Core Fixed as of March 31, 2015.
(n) Mortgage dollar roll and treasury roll transactions
The Funds may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. The Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Fund is required to purchase may decline below the agreed upon repurchase price of those securities.
The Funds may enter into treasury roll transactions. In a treasury roll transaction the Fund sells a treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price at a future settlement date. The Fund receives cash from the sale of the treasury security to use for other investment purposes. The difference between the sale and repurchase price represents net interest income or net interest expense. Under GAAP, the treasury roll transaction is accounted for as a financing transaction and not as a purchase or sale. During the term of the borrowing the Fund records the related interest income or interest expenses on an accrual basis. Treasury roll transactions involve the risk that the market value of the securities that the Fund is required to repurchase may decline below the agreed upon repurchase price of those securities.
Treasury roll transactions are entered into by the Funds under an MRA. An MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With treasury roll transactions, typically the Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund obligation under bankruptcy law to return the excess to the counterparty. The Funds did not hold open treasury rolls as of March 31, 2015.
(o) Bank loans
Core Fixed may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the ‘‘Lender’’) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At March 31, 2015, the Funds held no unfunded loan commitments.
203
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
(p) Indexed securities
The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.
(q) Taxes and distributions
The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“the Code”). The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.
The Funds utilize the provisions of the federal income tax laws that provide for the carryforward of capital losses for prior years, offsetting such losses against any future realized capital gains. Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
On March 31, 2015, the following Funds had deferred capital losses available to be offset against future net capital gains through the indicated expiration dates as follows:
Expiring March 31, | ||||||||||||||||||||
2016 | 2017 | 2018 | 2019 | Unlimited | ||||||||||||||||
Emerging Markets | $ | — | $ | — | $ | — | $ | — | $ | 496,179 |
During the year ended March 31, 2015 the following Funds utilized capital loss carryforwards:
Emerging Markets | $ | 3,494,241 |
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of March 31, 2015, Opportunistic Fixed and Emerging Markets have elected to defer current year post-October losses of $1,127,850 and $11,373,751, respectively. Small Mid/Cap Growth and Emerging Markets have elected to defer late-year ordinary losses of $597,544 and $588,622, respectively, as arising on April 1, 2015.
204
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
As of March 31, 2015, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:
Federal Income Tax Cost | Tax Basis Unrealized Appreciation | Tax Basis Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Large Cap Growth | $ | 328,628,820 | $ | 51,781,348 | $ | (8,445,626 | ) | $ | 43,335,722 | |||||||
Large Cap Value | 323,648,894 | 55,808,256 | (8,415,515 | ) | 47,392,741 | |||||||||||
Small/Mid Cap Growth | 436,606,650 | 90,940,486 | (11,370,548 | ) | 79,569,938 | |||||||||||
Small/Mid Cap Value | 442,696,269 | 48,079,448 | (14,680,006 | ) | 33,399,442 | |||||||||||
Non-US Core Equity | 2,042,965,104 | 210,105,700 | (68,868,938 | ) | 141,236,762 | |||||||||||
Core Fixed | 907,527,507 | 28,556,838 | (5,859,031 | ) | 22,697,807 | |||||||||||
Opportunistic Fixed | 428,484,174 | 2,539,640 | (43,346,097 | ) | (40,806,457 | ) | ||||||||||
Emerging Markets | 1,106,243,475 | 77,753,963 | (73,174,148 | ) | 4,579,815 | |||||||||||
Global Low Volatility | 799,908,283 | 64,960,447 | (24,084,466 | ) | 40,875,981 |
The temporary differences between book-basis and tax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies and other basis adjustments.
As of March 31, 2015, the Funds had no uncertain tax positions that would require recognition, derecognition, or disclosure. Each of the Funds’ federal tax returns filed in the 3-year period ended March 31, 2015 remains subject to examination by the Internal Revenue Service.
The Funds’ policy is to declare and pay distributions from net investment income and net realized short-term and long-term gains at least annually. All distributions are paid in shares of the Funds, at NAV, unless the shareholder elects to receive cash distributions. A Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise taxes on the Funds. The amount of any distribution will vary, and there is no guarantee that a Fund will pay either income dividends or capital gains distributions.
During the years ended March 31, 2015 and March 31, 2014, the tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid, were as follows:
2015 | 2014 | |||||||||||||||
Ordinary Income | Long-Term Capital Gains | Ordinary Income | Long-Term Capital Gains | |||||||||||||
Large Cap Growth | $ | 14,492,112 | $ | 80,121,669 | $ | 10,178,962 | $ | 73,441,379 | ||||||||
Large Cap Value | 10,792,989 | 45,778,425 | 6,835,803 | — | ||||||||||||
Small/Mid Cap Growth | 12,410,352 | 41,166,667 | 16,026,482 | 45,018,015 | ||||||||||||
Small/Mid Cap Value | 26,104,424 | 44,373,704 | 34,388,584 | 37,244,306 | ||||||||||||
Non-US Core Equity | 65,007,286 | 153,000,389 | 51,237,787 | 85,693,489 | ||||||||||||
Core Fixed | 32,695,835 | 10,535,458 | 24,984,359 | 5,718,416 | ||||||||||||
Opportunistic Fixed | 19,485,679 | 90,694 | 2,280,082 | — | ||||||||||||
Emerging Markets | 18,781,299 | — | 13,888,576 | — | ||||||||||||
Global Low Volatility | 27,269,525 | 26,003,646 | 28,469,221 | 100,937 |
205
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
As of March 31, 2015, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Gains | Capital Losses Other Temporary Differences | Unrealized Appreciation (Depreciation) | Total Distributable Earnings | ||||||||||||||||
Large Cap Growth | $ | 10,020,554 | $ | 16,156,028 | $ | (4,132 | ) | $ | 43,335,722 | $ | 69,508,172 | |||||||||
Large Cap Value | 3,161,160 | 22,039,446 | (3,934 | ) | 47,392,749 | 72,589,421 | ||||||||||||||
Small/Mid Cap Growth | — | 17,935,647 | (598,313 | ) | 79,570,208 | 96,907,542 | ||||||||||||||
Small/Mid Cap Value | 239,644 | 6,855,161 | (633 | ) | 33,399,428 | 40,493,600 | ||||||||||||||
Non-US Core Equity | 8,758,712 | 27,716,293 | (5,883 | ) | 141,011,808 | 177,480,930 | ||||||||||||||
Core Fixed | 10,545,157 | 2,338,812 | (9,217 | ) | 22,502,034 | 35,376,786 | ||||||||||||||
Opportunistic Fixed | 2,219,571 | — | (1,138,691 | ) | (41,711,276 | ) | (40,630,396 | ) | ||||||||||||
Emerging Markets | — | — | (12,458,552 | ) | 3,926,741 | (8,531,811 | ) | |||||||||||||
Global Low Volatility | 10,815,495 | 31,837,180 | — | 40,823,076 | 83,475,751 |
All other differences are temporary losses related to mostly organizational costs and other timing adjustments.
(r) Allocation of expenses and income
The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.
(s) Redemption fees
While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded as paid-in capital.
3. | Credit agreement |
The Trust had entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a revolving line of credit. Borrowings for each Fund under the Agreement were limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Total Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust paid an annual commitment fee at the rate 0.15% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest was charged to the Funds based on its borrowings at a variable rate equal to the Overnight Rate plus 1.25%. The Agreement expired on June 23, 2014 and was not renewed. The Funds did not borrow under the Agreement during the period the agreement was in effect.
4. | Indemnities |
In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
206
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
5. | Fees and other transactions with affiliates |
The Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:
Investment Advisory Fee* on Net Assets | ||||||||
Average net assets up to $750 million | Average net assets in excess of $750 million | |||||||
Large Cap Growth | 0.55 | % | 0.53 | % | ||||
Large Cap Value | 0.53 | % | 0.51 | % | ||||
Small/Mid Cap Growth | 0.90 | % | 0.88 | %** | ||||
Small/Mid Cap Value | 0.90 | % | 0.88 | %** | ||||
Non-US Core Equity | 0.75 | % | 0.73 | % | ||||
Core Fixed | 0.35 | % | 0.33 | % | ||||
Opportunistic Fixed | 0.80 | % | 0.78 | %** | ||||
Emerging Markets | 0.80 | % | 0.78 | %** | ||||
Global Low Volatility | 0.75 | % | 0.73 | %** |
* | Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees. |
** | Prior to July 1, 2014, the Investment Advisory fee on average net assets in excess of $750 million was 0.90%, 0.90%, 0.80%, 0.80% and 0.75%, respectively. |
Such fees as referenced above are shown in the Advisory fees line in the Statements of Operations. The Advisor provides certain internal administrative services to the Class S, Class Y-1 and Class Y-2 shares of the Funds, for which the Advisor receives a fee of 0.15%, 0.10% and 0.05% of the average daily net assets of the Class S, Class Y-1 and Class Y-2 shares of the Funds, respectively. These internal administrative services include attending to shareholder correspondence, assisting with the processing of purchases and redemptions of shares, preparing and disseminating information and documents for use by beneficial shareholders and monitoring and overseeing non-advisory relationships with entities providing services to the Class S, Class Y-1 and Class Y-2 shares, including the transfer agent. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.
The Funds have adopted a plan of marketing and service, or “12b-1 plan” to finance the provision of certain shareholder services to the owners of Class S and Class Y-1 shares of the Funds (collectively referred to as the “plans”). The plan provides for payments at annual rates (based on average net assets) of up to 0.25% of each Fund’s Class S and Class Y-1 shares. However, Class S and Class Y-1 shares have not commenced operations.
The Trust, with respect to each Fund, and the Advisor have entered into a written contractual fee waiver and expense reimbursement agreement pursuant to which the Advisor has agreed to waive a portion of its fees and/or reimburse expenses in an amount necessary to limit each Fund’s total annual operating expenses to an annual rate (as a percentage of each Fund’s average daily net assets) as set forth in the table below. For the year ended March 31, 2015, the fees were reimbursed to the extent that each Fund’s class expenses exceeded the net expense rates of average daily net assets of the Fund class. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations. The written contractual fee waiver and expense reimbursement agreement for each Fund, with the exception of Opportunistic Fixed, expired effective July 31, 2014.
Class S | Class Y-1 | Class Y-2 | Class Y-3 | |||||||||||||
Large Cap Growth | 1.07% | 1.02% | 0.72% | 0.57% | ||||||||||||
Large Cap Value | 1.05% | 1.00% | 0.70% | 0.55% | ||||||||||||
Small/Mid Cap Growth | 1.47% | 1.42% | 1.12% | 0.97% | ||||||||||||
Small/Mid Cap Value | 1.47% | 1.42% | 1.12% | 0.97% | ||||||||||||
Non-US Core Equity | 1.37% | 1.32% | 1.02% | 0.87% |
207
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Class S | Class Y-1 | Class Y-2 | Class Y-3 | |||||||||||||
Core Fixed | 0.87% | 0.82% | 0.52% | 0.37% | ||||||||||||
Opportunistic Fixed | 1.40% | 1.35% | 1.05% | 0.90% | ||||||||||||
Emerging Markets | 1.60% | 1.55% | 1.25% | 0.95% | ||||||||||||
Global Low Volatility | 1.35% | 1.30% | 1.00% | 0.85% |
Pursuant to the expense reimbursement agreement, the Advisor is entitled to be reimbursed for any fees the Advisor waives and Fund expenses that the Advisor reimburses for a period of three years following such fee waiver and expense reimbursement, to the extent that such reimbursement of the Advisor by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund. For the year ended March 31, 2015, the Advisor recovered $55,146 in reimbursed expenses from Global Low Volatility.
Pursuant to the Funds’ expense reimbursement agreement, the Advisor can recapture certain amounts waived or reimbursed over the past three 12-month periods ended July 31, 2014. The following amounts were available for recapture as of July 31, 2014:
Expenses Reimbursed in the 12-Months Ended July 31, | ||||||||||||
2012 | 2013 | 2014 | ||||||||||
Subject to Recapture until July 31, | ||||||||||||
2015 | 2016 | 2017 | ||||||||||
Large Cap Growth | $ | 243,890 | $ | 206,394 | $ | 248,632 | ||||||
Large Cap Value | 268,658 | 198,065 | 240,121 | |||||||||
Small/Mid Cap Growth | 240,500 | 85,083 | 54,175 | |||||||||
Small/Mid Cap Value | 237,686 | 84,500 | 103,551 | |||||||||
Non-US Core Equity | 1,321,132 | — | — | |||||||||
Core Fixed | 661,339 | 556,235 | 651,589 | |||||||||
Opportunistic Fixed | — | — | 253,811 | |||||||||
Emerging Markets | 83,093 | 556,088 | 556,688 | |||||||||
Global Low Volatility | — | 131,146 | — |
Pursuant to a transfer agency agreement with State Street Bank and Trust Co. (“SSB”), SSB had agreed to waive it’s fees and out of pocket expenses, up to $33,000 per month for the Funds in the aggregate. Effective January 1, 2015, that agreement has been amended and SSB is no longer waiving these fees. For the period April 1, 2014 through December 31, 2014, the fees waived are shown in the Fee reductions line in the Statements of Operations.
6. | Purchases and sales of securities |
Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended March 31, 2015, were as follows:
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Purchases | ||||||||
Large Cap Growth | $ | — | $ | 412,041,075 | ||||
Large Cap Value | — | 207,852,054 | ||||||
Small/Mid Cap Growth | — | 302,771,302 | ||||||
Small/Mid Cap Value | — | 374,377,979 | ||||||
Non-US Core Equity | — | 2,112,868,252 | ||||||
Core Fixed | 1,154,841,922 | 527,016,768 | ||||||
Opportunistic Fixed | — | 364,058,242 | ||||||
Emerging Markets | — | 608,380,675 | ||||||
Global Low Volatility | — | 598,892,122 |
208
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Long-Term U.S. Government Securities | Other Long-Term Securities | |||||||
Sales | ||||||||
Large Cap Growth | $ | — | $ | 460,990,498 | ||||
Large Cap Value | — | 254,206,236 | ||||||
Small/Mid Cap Growth | — | 301,125,795 | ||||||
Small/Mid Cap Value | — | 346,426,139 | ||||||
Non-US Core Equity | — | 1,941,780,269 | ||||||
Core Fixed | 1,455,085,405 | 382,973,753 | ||||||
Opportunistic Fixed | — | 181,405,003 | ||||||
Emerging Markets | — | 411,941,660 | ||||||
Global Low Volatility | — | 588,159,359 |
7. | Share transactions |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:
Large Cap Growth
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 6,185,388 | $ | 77,587,271 | 220,686 | $ | 2,949,064 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 8,784,938 | 94,613,781 | 6,477,176 | 83,620,341 | ||||||||||||
Shares repurchased | (9,582,950 | ) | (122,468,542 | ) | (13,790,756 | ) | (196,510,818 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 5,387,376 | $ | 49,732,510 | (7,092,894 | ) | $ | (109,941,413 | ) | ||||||||
|
|
|
|
|
|
|
|
Large Cap Value
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 4,511,523 | $ | 56,106,037 | 232,374 | $ | 2,849,063 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,919,253 | 56,571,414 | 570,125 | 6,835,803 | ||||||||||||
Shares repurchased | (7,663,555 | ) | (96,489,912 | ) | (19,376,634 | ) | (214,892,997 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 1,767,221 | $ | 16,187,539 | (18,574,135 | ) | $ | (205,208,131 | ) | ||||||||
|
|
|
|
|
|
|
|
209
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Small/Mid Cap Growth
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 9,332,692 | $ | 111,300,308 | 2,889,213 | $ | 37,028,139 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,650,783 | 53,577,019 | 5,049,172 | 61,044,497 | ||||||||||||
Shares repurchased | (7,407,808 | ) | (90,991,076 | ) | (13,016,216 | ) | (164,272,001 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 6,575,667 | $ | 73,886,251 | (5,077,831 | ) | $ | (66,199,365 | ) | ||||||||
|
|
|
|
|
|
|
|
Small/Mid Cap Value
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 10,577,321 | $ | 108,544,174 | 6,584,297 | $ | 74,869,203 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 7,710,955 | 70,478,128 | 6,815,689 | 71,632,890 | ||||||||||||
Shares repurchased through in-kind redemption* | — | — | (3,518,476 | ) | (39,406,931 | ) | ||||||||||
Shares repurchased | (6,285,557 | ) | (64,094,432 | ) | (13,337,366 | ) | (152,670,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 12,002,719 | $ | 114,927,870 | (3,455,856 | ) | $ | (45,575,148 | ) | ||||||||
|
|
|
|
|
|
|
|
* | The fund had a redemption in-kind on May 6, 2013. |
Non-US Core Equity
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 44,854,131 | $ | 511,679,522 | 32,304,150 | $ | 365,809,642 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 21,352,368 | 218,007,675 | 11,990,479 | 136,931,276 | ||||||||||||
Shares repurchased through in-kind redemption* | — | — | (16,779,118 | ) | (188,093,909 | ) | ||||||||||
Shares repurchased | (29,317,958 | ) | (331,351,266 | ) | (71,884,254 | ) | (817,992,339 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 36,888,541 | $ | 398,335,931 | (44,368,743 | ) | $ | (503,345,330 | ) | ||||||||
|
|
|
|
|
|
|
|
* | The fund had a redemption in-kind on May 3, 2013. |
210
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
Core Fixed
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 18,919,349 | $ | 199,255,007 | 18,298,152 | $ | 191,482,003 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,225,933 | 43,231,293 | 2,998,318 | 30,702,775 | ||||||||||||
Shares repurchased | (40,863,194 | ) | (433,922,784 | ) | (20,376,062 | ) | (211,810,617 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (17,717,912 | ) | $ | (191,436,484 | ) | 920,408 | $ | 10,374,161 | ||||||||
|
|
|
|
|
|
|
|
Opportunistic Fixed
Year Ended March 31, 2015 | Period from August 21, 2013 (commencement of operations) through March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 21,642,636 | $ | 219,014,162 | 25,054,617 | $ | 253,754,909 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 2,114,079 | 19,576,373 | 223,977 | 2,280,082 | ||||||||||||
Shares repurchased | (5,370,938 | ) | (55,031,383 | ) | (305,258 | ) | (3,148,606 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 18,385,777 | $ | 183,559,152 | 24,973,336 | $ | 252,886,385 | ||||||||||
|
|
|
|
|
|
|
|
Emerging Markets
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 35,613,656 | $ | 362,012,477 | 42,700,320 | $ | 421,595,439 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 1,946,249 | 18,781,299 | 1,401,471 | 13,888,576 | ||||||||||||
Shares repurchased | (13,852,646 | ) | (142,644,424 | ) | (7,061,813 | ) | (71,130,846 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 23,707,259 | $ | 238,149,352 | 37,039,978 | $ | 364,353,169 | ||||||||||
|
|
|
|
|
|
|
|
Global Low Volatility
Year Ended March 31, 2015 | Year Ended March 31, 2014 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class Y-3: | ||||||||||||||||
Shares sold | 22,126,406 | $ | 272,817,683 | 40,641,924 | $ | 462,693,554 | ||||||||||
Shares issued to shareholders in reinvestment of distributions | 4,495,626 | 53,273,171 | 2,435,648 | 28,570,158 | ||||||||||||
Shares repurchased | (19,537,419 | ) | (243,542,599 | ) | (9,468,727 | ) | (111,439,468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 7,084,613 | $ | 82,548,255 | 33,608,845 | $ | 379,824,244 | ||||||||||
|
|
|
|
|
|
|
|
211
Table of Contents
Mercer Funds
Notes to the Financial Statements (Continued)
March 31, 2015
8. | Recent accounting pronouncement |
In June 2014, the Financial Accounting Standards Board (FASB) issued ASU 2014-11 Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures to improve the financial reporting of repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into repurchase agreements or securities lending transactions. The guidance is effective for financial statements with fiscal years beginning on or after December 15, 2014, and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.
9. | Subsequent events |
Management has evaluated the impact of subsequent events through May 28, 2015, the date the financial statements were available to be issued for possible adjustment to and/or disclosure in the Funds’ financial statements. Management has determined that there are no material events that would require adjustment and/or disclosure in the Funds’ financial statements through this date.
212
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Mercer Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Mercer Funds (the “Funds”), comprising Mercer US Large Cap Growth Equity Fund, Mercer US Large Cap Value Equity Fund, Mercer US Small/Mid Cap Growth Equity Fund, Mercer US Small/Mid Cap Value Equity Fund, Mercer Non-US Core Equity Fund, Mercer Core Fixed Income Fund, Mercer Opportunistic Fixed Income Fund, Mercer Emerging Markets Equity Fund, and Mercer Global Low Volatility Equity Fund as of March 31, 2015, the related statements of operations for the period then ended, and the statements of changes in net assets and the financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2015, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2015, the results of their operations for the period then ended, the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
May 28, 2015
213
Table of Contents
Mercer Funds
Additional Information (Unaudited)
Proxy Voting
A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.
Quarterly Reporting
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Federal Tax Information
The amount of long-term capital gains paid for the fiscal year ended March 31, 2015, the amount of long-term capital gains paid were as follows:
Fund | ||||
Large Cap Growth | $ | 80,121,669 | ||
Large Cap Value | 45,778,425 | |||
Small/Mid Cap Growth | 41,166,667 | |||
Small/Mid Cap Value | 44,373,704 | |||
Non-US Core Equity | 153,000,389 | |||
Core Fixed | 10,535,458 | |||
Opportunistic Fixed | 90,694 | |||
Global Low Volatility | 26,003,646 |
For the year ended March 31, 2015, Non-US Core Equity and Emerging Markets had foreign tax credits in the amount of $4,927,848 and $2,082,438, respectively, and foreign source income of $55,953,150 and $27,144,066, respectively.
Qualified dividend income (“QDI”) received by the Funds through March 31, 2015, that qualified for a reduced tax rate pursuant to the Internal Revenue Code Section 1(h)(11) are as follows:
Fund | QDI | |||
Large Cap Growth | $ | 3,505,843 | ||
Large Cap Value | 7,337,872 | |||
Small/Mid Cap Growth | 2,585,234 | |||
Small/Mid Cap Value | 3,516,942 | |||
Non-US Core Equity | 34,412,389 | |||
Core Fixed | 195,300 | |||
Emerging Markets | 17,270,525 | |||
Global Low Volatility | 13,180,347 |
For corporate shareholders, a portion of the ordinary dividends paid during the Funds’ year ended March 31, 2015, qualified for the dividends received deduction, as follows:
Fund | ||||
Large Cap Growth | 15.81% | |||
Large Cap Value | 55.76% | |||
Small/Mid Cap Growth | 26.86% | |||
Small/Mid Cap Value | 17.16% | |||
Global Low Volatility | 21.79% |
214
Table of Contents
Mercer Funds
Additional Information (Unaudited) (Continued)
Board Approval of Subadvisory Agreements for Certain of the Funds during the period October 1, 2014 through March 31, 2015
Mercer Global Low Volatility Equity Fund
At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of Mercer Funds (the “Trust”) held on February 5, 2015 (the “February Meeting”), the Trustees, including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust or Mercer Investment Management, Inc., the Trust’s investment advisor (the “Advisor”) (together, the “Independent Trustees”), considered and approved the proposed subadvisory agreement (the “Proposed Martingale Subadvisory Agreement”) between the Advisor and Martingale Asset Management, L.P. (“Martingale”) with respect to the Mercer Global Low Volatility Equity Fund (the “Global Low Volatility Fund”).
In considering the approval of the Proposed Martingale Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor, Martingale and counsel that included, as to Martingale and the Global Low Volatility Fund: (i) the Proposed Martingale Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Martingale for the Board’s approval, and the Advisor’s rationale for recommending that Martingale be appointed as a subadvisor to the Global Low Volatility Fund, and how Martingale would supplement the Global Low Volatility Fund’s other current subadvisors; (iii) the nature, extent, and quality of the services that Martingale proposed to provide to the Global Low Volatility Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Martingale; (v) Martingale’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Martingale for its services to the Global Low Volatility Fund, and a comparison of those fees to other accounts that Martingale manages; (vii) a summary of Martingale’s compliance program; (viii) information regarding Martingale’s historical performance returns managing an investment mandate similar to the Global Low Volatility Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of Martingale.
In addition, the Independent Trustees considered presentations made by, and discussions held with, representatives of the Advisor. The Independent Trustees considered and analyzed factors that they deemed relevant with respect to Martingale, including: the nature, extent, and quality of the services to be provided to the Global Low Volatility Fund by Martingale; Martingale’s management style and investment decision-making process; Martingale’s historical performance record managing investment products similar to the Global Low Volatility Fund; the qualifications and experience of the members of Martingale’s portfolio management team; and Martingale’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to Martingale, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Martingale. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Martingale to the Global Low Volatility Fund. The Independent Trustees discussed the specific investment management process that Martingale indicated that it will employ to manage its allocated portion of the Global Low Volatility Fund’s investment portfolio (which was described in detail in the materials provided by Martingale), the qualifications of Martingale’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Global Low Volatility Fund’s investment portfolio that Martingale would be managing, and the performance record of Martingale as compared to a relevant benchmark. The Independent Trustees considered Martingale’s infrastructure and resources, and whether Martingale’s organization appeared to support Martingale’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Martingale, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory
215
Table of Contents
Mercer Funds
Additional Information (Unaudited) (Continued)
services expected to be provided to the Global Low Volatility Fund by Martingale. The Independent Trustees determined that the Global Low Volatility Fund and its shareholders would benefit from the quality and experience of Martingale’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Martingale, as well as Martingale’s ability to render such services based on Martingale’s experience, operations and resources, were appropriate for the Global Low Volatility Fund, in light of the Global Low Volatility Fund’s investment objective, and the mandate relating to the allocated portion of the Global Low Volatility Fund’s investment portfolio that Martingale would manage.
(b) Comparison of the services to be rendered and fees to be paid to Martingale under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by Martingale and evaluated the compensation to be paid to Martingale by the Advisor for those services. The Independent Trustees noted that the services that Martingale would furnish to the Global Low Volatility Fund appeared to be comparable to the services that Martingale currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Martingale by the Advisor in light of the fees that were charged by Martingale to its other advisory clients, as disclosed in Martingale’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Independent Trustees also considered that the fees agreed to by Martingale were the result of an arm’s length bargain negotiated by unaffiliated parties. The Independent Trustees also noted that, while Martingale’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend Martingale to serve as a subadvisor to the Global Low Volatility Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Martingale for its services to the Global Low Volatility Fund were reasonable. The Independent Trustees emphasized in their discussions that the subadvisory fees of Martingale would be paid by the Advisor, and were not additional fees to be borne by the Global Low Volatility Fund or its shareholders. Based on their discussion, the Independent Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed fees to be paid to Martingale with respect to the assets of the Global Low Volatility Fund to be allocated to Martingale appeared to be reasonable in relation to the services that were expected to be provided by Martingale to the Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Martingale from its relationship with the Global Low Volatility Fund and concluded that they were reasonable.
Since the fees to be paid to Martingale were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of Martingale was not considered relevant to the Independent Trustees’ deliberations. The Independent Trustees took note of the Advisor’s explanation that the recommended appointment of Martingale was not affected by the impact that the appointment would have on the Advisor revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Martingale may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by Martingale and the proposed fees to be paid to Martingale by the Advisor for managing its allocated portion of the Global Low Volatility Fund, the potential benefits accruing to Martingale as a result of serving as a subadvisor to the Global Low Volatility Fund were reasonable in relation to the services that were expected to be provided by Martingale to the Global Low Volatility Fund.
(c) Investment performance of the Global Low Volatility Fund and Martingale. Because Martingale was a newly proposed subadvisor to the Global Low Volatility Fund, the Independent Trustees could not consider Martingale’s investment performance in managing the Global Low Volatility Fund as a factor in evaluating
216
Table of Contents
Mercer Funds
Additional Information (Unaudited) (Continued)
the Proposed Martingale Subadvisory Agreement. However, the Independent Trustees reviewed Martingale’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Global Low Volatility Fund. The Independent Trustees also compared the historical investment performance of Martingale to relevant benchmarks and concluded that Martingale’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Proposed Martingale Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Independent Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Martingale to serve as a new subadvisor to the Global Low Volatility Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Martingale appeared to be reasonable in relation to the services that were expected to be provided to the Global Low Volatility Fund. As a result, the Independent Trustees concluded that the approval of the Proposed Martingale Subadvisory Agreement was in the best interests of the Global Low Volatility Fund and its shareholders and approved the Proposed Martingale Subadvisory Agreement.
Mercer US Large Cap Growth Equity Fund
Mercer US Large Cap Value Equity Fund
Mercer US Small/Mid Cap Growth Equity Fund
Mercer US Small/Mid Cap Value Equity Fund
Mercer Non-US Core Equity Fund
Mercer Emerging Markets Equity Fund
Mercer Global Low Volatility Equity Fund
At the February Meeting, the Board, including the Independent Trustees, also considered and approved a new subadvisory agreement (the “Proposed Parametric Subadvisory Agreement”) entered into by the Advisor and Parametric Portfolio Associates LLC (“Parametric”), with respect to the Mercer US Large Cap Growth Equity Fund, Mercer US Large Cap Value Equity Fund, Mercer US Small/Mid Cap Growth Equity Fund, Mercer US Small/Mid Cap Value Equity Fund, Mercer Non-US Core Equity Fund, Mercer Emerging Markets Equity Fund and Mercer Global Low Volatility Equity Fund (the “Cash Equitization Funds”).
In considering the approval of the Proposed Parametric Subadvisory Agreement, the Independent Trustees considered the information and materials from the Advisor, Parametric and counsel, that included, as to Parametric and the Cash Equitization Funds: (i) the Proposed Parametric Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Parametric for the Board’s approval, and the Advisor’s rationale for recommending that Parametric be appointed as a subadvisor to the Cash Equitization Funds, and how Parametric would supplement each of the Cash Equitization Funds’ other current subadvisors; (iii) the nature, extent, and quality of the services that Parametric proposed to provide to the Cash Equitization Funds; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Parametric; (v) Parametric’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Parametric for its services to the Cash Equitization Funds, and a comparison of those fees to other accounts that Parametric manages; (vii) a summary of Parametric’s compliance program; (viii) information regarding Parametric’s historical performance returns managing the investment mandate that it intended to use with respect to each of the Cash Equitization Funds’ investment mandates, and a comparison of such performance to a relevant index; and (ix) the financial condition of Parametric.
In addition, the Independent Trustees considered presentations made by, and discussions held with, representatives of the Advisor. The Independent Trustees considered and analyzed factors that they deemed relevant with respect to Parametric, including: the nature, extent, and quality of the services to be provided to the Cash Equitization Funds by Parametric; Parametric’s management style and investment decision-making process; Parametric’s historical performance record managing investment products similar to the investment mandate that it intended to use with respect to each of the Cash Equitization Funds; the qualifications and experience of the members of Parametric’s portfolio management team; and Parametric’s staffing levels and overall resources. The Independent Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with
217
Table of Contents
Mercer Funds
Additional Information (Unaudited) (Continued)
each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by their independent legal counsel which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.
In particular, and as to Parametric, the Board, including the Independent Trustees, considered the following factors:
(a) The nature, extent, and quality of the services to be provided by Parametric. The Independent Trustees reviewed the nature, extent, and quality of the services to be provided by Parametric to the Cash Equitization Funds. The Independent Trustees discussed the specific investment management process that Parametric indicated that it will employ to manage its allocated portion of each Cash Equitization Fund’s investment portfolio (which was described in detail in the materials provided by Parametric), the qualifications of Parametric’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of each Cash Equitization Fund’s investment portfolio that Parametric would be managing, and the performance record of Parametric as compared to each relevant benchmark. The Independent Trustees considered Parametric’s infrastructure and resources, and whether Parametric’s organization appeared to support Parametric’s strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Parametric, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to each Cash Equitization Fund by Parametric. The Independent Trustees determined that each Cash Equitization Fund and its shareholders would benefit from the quality and experience of Parametric’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Parametric, as well as Parametric’s ability to render such services based on Parametric’s experience, operations and resources, were appropriate for each Cash Equitization Fund, in light of each such Fund’s investment objective, and the mandate relating to the allocated portion of each Fund’s investment portfolio that Parametric would manage.
(b) Comparison of the services to be rendered and fees to be paid to Parametric under other advisory and subadvisory contracts, such as those with other clients. The Independent Trustees discussed the services that would be rendered by Parametric and evaluated the compensation to be paid to Parametric by the Advisor for those services. The Independent Trustees noted that the services that Parametric would furnish to each Cash Equitization Fund appeared to be comparable to the services that Parametric currently provides to its other advisory and subadvisory clients having similar investment strategies. The Independent Trustees also considered comparisons of the fees that will be paid to Parametric by the Advisor in light of the fees that were charged by Parametric to its other advisory clients, as disclosed in Parametric’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Board also considered that the fees agreed to by Parametric were the result of an arm’s length bargain negotiated by unaffiliated parties.
The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend Parametric to serve as a subadvisor to each Cash Equitization Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Parametric for its services to each Cash Equitization Fund were reasonable. The Independent Trustees emphasized in their discussions that the subadvisory fees of Parametric would be paid by the Advisor, and were not additional fees to be borne by each of the Cash Equitization Funds or their shareholders. Based on their discussion, the Independent Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed fees to be paid to Parametric with respect to the assets of each Cash Equitization Fund to be allocated to Parametric appeared to be reasonable in relation to the services that were expected to be provided by Parametric to each Cash Equitization Fund. The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Parametric from its relationship with the Cash Equitization Funds and concluded that they were reasonable.
Since the fees to be paid to Parametric were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability
218
Table of Contents
Mercer Funds
Additional Information (Unaudited) (Continued)
of Parametric was not considered relevant to the Independent Trustees’ deliberations. The Independent Trustees took note of the Advisor’s explanation that the recommended appointment of Parametric was not affected by the impact that the appointment would have on the Advisor revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Parametric may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent and quality of the services expected to be provided by Parametric and the proposed fees to be paid to Parametric by the Advisor for managing its allocated portion of the Cash Equitization Funds, the potential benefits accruing to Parametric as a result of serving as a subadvisor to each Cash Equitization Fund were reasonable in relation to the services that were expected to be provided by Parametric to each of the Cash Equitization Funds.
(c) Investment performance of each of the Cash Equitization Funds and Parametric. Because Parametric was a newly proposed subadvisor to the Cash Equitization Funds, the Independent Trustees could not consider Parametric’s investment performance in managing each Cash Equitization Fund as a factor in evaluating the Proposed Parametric Subadvisory Agreement. However, the Independent Trustees reviewed Parametric’s historical investment performance record in managing or subadvising other investment companies and accounts that were comparable to the investment mandate that it intended to use with respect to each of the Cash Equitization Funds. The Independent Trustees also compared the historical investment performance of Parametric to relevant benchmarks and concluded that Parametric’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Proposed Parametric Subadvisory Agreement.
Conclusion. Following consideration of the foregoing factors, it was reported that no single factor was determinative to the decisions of the Independent Trustees. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Parametric to serve as a new subadvisor to each Cash Equitization Fund, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Parametric appeared to be reasonable in relation to the services that were expected to be provided to each of the Cash Equitization Funds. As a result, the Board, including all of the Independent Trustees, concluded that the approval of the Proposed Parametric Subadvisory Agreement was in the best interests of each Cash Equitization Fund and its shareholders and approved the Proposed Parametric Subadvisory Agreement.
219
Table of Contents
Mercer Funds
Understanding Your Fund’s Expenses (Unaudited)
As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2014 through March 31, 2015. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = $8.60) and multiply the result by the number in the Operating Expenses Incurred column as shown below for your Class. The second line in the table for each Fund provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.
Large Cap Growth — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.62%** | 1,000.00 | 1,093.10 | 1,046.55 | 3.24 | ||||||||||||||||||||
Hypothetical | 0.62%** | 1,000.00 | 1,021.84 | 1,010.92 | 3.13 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Large Cap Value — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.62%** | 1,000.00 | 1,047.20 | 1,023.60 | 3.16 | ||||||||||||||||||||
Hypothetical | 0.62%** | 1,000.00 | 1,021.84 | 1,010.92 | 3.13 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
220
Table of Contents
Mercer Funds
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Small/Mid Cap Growth — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.99%** | 1,000.00 | 1,130.20 | 1,065.10 | 5.26 | ||||||||||||||||||||
Hypothetical | 0.99%** | 1,000.00 | 1,020.00 | 1,010.00 | 4.99 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.99%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Small/Mid Cap Value — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.99%** | 1,000.00 | 1,078.00 | 1,039.00 | 5.13 | ||||||||||||||||||||
Hypothetical | 0.99%** | 1,000.00 | 1,020.00 | 1,010.00 | 4.99 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.99%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Non-US Core Equity — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.84%** | 1,000.00 | 1,026.90 | 1,013.45 | 4.24 | ||||||||||||||||||||
Hypothetical | 0.84%** | 1,000.00 | 1,020.74 | 1,010.37 | 4.23 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.84%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Core Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.40% | 1,000.00 | 1,032.50 | 1,016.25 | 2.03 | ||||||||||||||||||||
Hypothetical | 0.40% | 1,000.00 | 1,022.94 | 1,011.47 | 2.02 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.40%, multiplied by the average account value over the period, multiplied by 182/365 |
221
Table of Contents
Mercer Funds
Understanding Your Fund’s Expenses (Unaudited) (Continued)
Opportunistic Fixed — Class Y-3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.90%** | 1,000.00 | 940.80 | 970.40 | 4.35 | ||||||||||||||||||||
Hypothetical | 0.90%** | 1,000.00 | 1,020.44 | 1,010.22 | 4.53 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Emerging Markets — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 1.00%** | 1,000.00 | 977.80 | 988.90 | 4.93 | ||||||||||||||||||||
Hypothetical | 1.00%** | 1,000.00 | 1,019.95 | 1,009.98 | 5.04 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 1.00%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
Global Low Volatility — Class Y3
Hypothetical Return on $1,000
Expense Ratio | Beginning Amount | Ending Value | Avg Value | Operating Expense Incurred* | |||||||||||||||||||||
Actual | 0.84%** | 1,000.00 | 1,048.60 | 1,024.30 | 4.29 | ||||||||||||||||||||
Hypothetical | 0.84%** | 1,000.00 | 1,020.74 | 1,010.37 | 4.23 |
* | Actual expenses are equal to the Class’ annualized expense ratio of 0.84%, multiplied by the average account value over the period, multiplied by 182/365 |
** | Includes interest expense that amounts to less than 0.01%. |
222
Table of Contents
Mercer Funds
Trustees and Officers (Unaudited)
The following tables list the Trust’s Trustees and Officers as of the date of this report; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trust’s trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request, by calling 1-866-658-9896, or on the SEC website at www.sec.gov.
Independent Trustees
Name, Address | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (72) | Trustee | Since 2005 | Mr. Bains is retired. | 9 | Mr. Bains is a director of BG Medicine, Inc. and Trustee of BofA Fund Series Trust (11 portfolios). | ||||||||
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Chicago, IL 60606 (57) | Trustee | Since 2005 | Ms. Cepeda is Founder and President of A.C. Advisory, Inc. (a financial advisory firm) since 1995. | 9 | Ms. Cepeda is a director of The UBS Funds (19 portfolios), UBS Relationship Funds (25 portfolios), Fort Dearborn Income Securities, Inc., SMA Relationship Trust (5 portfolios, Consulting Group Capital Markets Funds (11 portfolios), and the Amalgamated Bank of Chicago. | ||||||||
Gail A. Schneider 99 High Street Boston, MA 02110 (66) | Chairperson and Trustee | Chairperson Since 2013; Trustee Since 2009 | Ms. Schneider is a self-employed consultant since 2007. From 2002 to 2007, Ms. Schneider was retired. | 9 | None |
223
Table of Contents
Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Interested Trustee:
Name, Address and Age | Position(s) | Term of | Principal | Number of Portfolios in Fund Complex* Overseen by Trustee | Other | ||||||||
Richard Nuzum** (47) | Trustee, President, and Chief Executive Officer | Since 2010 | Mr. Nuzum is President and Global Business Leader of Mercer’s Investment Management Business since 2009. Mr. Nuzum was Americas Business Leader for Mercer Investment Consulting from 2005-2008. | 9 | Mr. Nuzum is a trustee of Mercer Trust Company and a director of Mercer Investment Management, Inc. Mr. Nuzum served as a director of Mercer Investment Consulting, Inc. from 2005 to 2008. |
(1) | Each Trustee holds office for an indefinite term. |
* | The “Fund Complex” consists of the Trust, which has nine portfolios effective March 31, 2015. |
** | Mr. Nuzum is considered to be an “interested person” of the Trust as defined in the 1940 Act, due to his relationship with the Advisor. |
224
Table of Contents
Mercer Funds
Trustees and Officers (Unaudited) (Continued)
Officers:
The executive officers of the Trust not named above are:
Name and Age | Position(s) | Term of | Principal Occupation(s) During Past 5 Years | |||
Tom Murphy (44) | Vice President | Since 2011 | Mr. Murphy is President of Mercer Investment Management, Inc. since 2011. He was Chief Investment Officer of Mercer Investment Management, Inc. from 2011-2012. Previously, Mr. Murphy was a Business Leader for Mercer Investment Management in EMEA since 2006. | |||
Richard S. Joseph (50) | Vice President, Treasurer, and Chief Financial Officer | Since 2005 | Mr. Joseph is Chief Operating Officer, Mercer Investment Management, Inc. since 2005. | |||
Stan Mavromates (54) | Vice President and Chief Investment Officer | Since 2012 | Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investment Management, Inc. since 2012. He served as Chief Investment Officer of the Massachusetts Pension Reserves Investment Management Board since 2005. | |||
Scott M. Zoltowski (46) | Vice President, Chief Legal Officer and Secretary | Since 2008 | Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel — Investments, for Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. Prior to this, Mr. Zoltowski was Senior Counsel and Vice President for State Street Global Advisors from 2006-2008. | |||
Colin Dean (38) | Vice President and Assistant Secretary | Since 2010 | Mr. Dean has served as Legal Counsel — Investments for Mercer Investment Management, Inc. since 2010. Prior to that, Mr. Dean was an Associate at Dechert LLP from 2007-2010 and Associate Counsel at Affiliated Managers Group, Inc. from 2005-2007. | |||
Manny Weiss (66) | Vice President | Since 2010 | Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. From 2006 to 2008, Mr. Weiss worked for 21 Capital Group, an affiliate of Old Mutual Asset Management, in Hedge Fund Manager Research and Client Service. | |||
Larry Vasquez (48) | Vice President | Since 2012 | Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investment Management, Inc. since 2012. Prior to joining Mercer, he was a Portfolio Manager at UBS Global Asset Management, Inc. from 2009 to 2012. Prior to 2009, Mr. Vasquez was a Portfolio Manager at SEI Investments. | |||
Robert Phay (47) | Vice President and Chief Compliance Officer | Since 2015 | Mr. Phay is the Chief Risk and Compliance Officer — Investments of Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. since March 2015. Prior to joining Mercer, Mr. Phay served as Chief Compliance Officer (September 2011 – February 2015), Acting General Counsel (January 2015 – February 2015), and Associate General Counsel (July 2006 – December 2014) of Commonfund. |
† | Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board. |
225
Table of Contents
Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.
Table of Contents
Item 2. Code of Ethics.
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to its President, Chief Financial Officer and Chief Investment Officer. During the period covered by this report, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 12(a)(1).
Item 3. Audit Committee Financial Expert.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harrison M. Bains, Jr., who is “independent” as defined in Item 3(a)(2) of this Form.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees – The aggregate fee billed for the fiscal year for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements was $402,560 and $388,357 for the fiscal years ended March 31, 2014 and March 31, 2015, respectively.
(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2014 and March 31, 2015 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.
(c) Tax Fees – The aggregate fee billed in the last fiscal year for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations was $82,330 and $77,318 for the fiscal years ended March 31, 2014 and March 31, 2015, respectively.
(d) All Other Fees – Fees in the amount of $134,080 and $7,820 were billed in the fiscal year ended March 31, 2014 and March 31, 2015, respectively for tax advisory services related to the reclamation of taxes paid by the Mercer Non-US Core Equity Fund in certain European Union countries.
(e) (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.
(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) | None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended March 31, 2015 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees. |
(g) | There were no aggregate fees billed for the fiscal year ended March 31, 2015 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
The Registrant’s full schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form.
Table of Contents
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Item 11. Controls and Procedures.
(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics for the Registrant’s President, Chief Financial Officer and Chief Investment Officer (as referenced in Item 2 above), attached hereto as Exhibit (a)(1).
(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.
(a)(3) Not applicable.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Mercer Funds |
By (Signature and Title) | By: /S/ Richard Nuzum | |
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | May 27, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By (Signature and Title) | By: /S/ Richard Nuzum | |
Richard Nuzum President and Chief Executive Officer (Principal Executive Officer) |
Date | May 27, 2015 |
By (Signature and Title) | By: /S/ Richard S. Joseph | |
Richard S. Joseph Vice President, Treasurer and Principal Accounting Officer (Principal Financial Officer) |
Date | May 27, 2015 |